Of course, I'm not about to answer this question one way or the other, but there are at least a couple of interesting things one might point out. Firstly, it has been shown (although I forget by whom) that there is no complex structure on S6 which is also orthogonal with respect to the round metric. The proof uses twistor theory. The twistor space of S6 is the bundle whose fibre at a point p is the space of orthogonal almost complex structures on the tangent space at p. It turns out that the total space is a smooth quadric hypersurface Q in CP7. If I remember rightly, an orthogonal complex structure would correspond to a section of this bundle which is also complex submanifold of Q. Studying the complex geometry of Q allows you to show this can't happen.
Secondly, there is a related question: does there exist a non-standard complex structure on CP3? To see the link, suppose there is a complex structure on S6 and blow up a point. This gives a complex manifold diffeomorphic to CP3, but with a non-standard complex structure, which would seem quite a weird phenomenon. On the other hand, so little is known about complex threefolds (in particular those which are not Kahler) that it's hard to decide what's weird and what isn't.
Finally, I once heard a talk by Yau which suggested the following ambitious strategy for finding complex structures on 6-manifolds. Assume we are working with a 6-manifold which has an almost complex structure (e.g. S6). Since the tangent bundle is a complex vector bundle it is pulled back from some complex Grassmanian via a classifying map. Requiring the structure to be integrable corresponds to a certain PDE for this map. One could then attempt to deform the map (via a cunning flow, continuity method etc.) to try and solve the PDE. I have no idea if anyone has actually tried to carry out part of this program.