I would think it depends on the system and how
much resources you have - Ram, disk space, etc.

I've recently tried both VMware (well, VirtualBox but the idea is the same) and
Dual-booting.

Here's my honest assessment (pros/cons) of both:

Running Windows as a virtual OS in Linux:
Pros:
1. Real easy to set up, and it works.
2. No need for HD partitioning/resizing, boot loader, or worrying about MBR
3. No need to reboot in order to use Linux

Cons:
1. Seemed to make my system really drag - but again I only have 1 gig of memory
and they say to allocate half of it for good virtualization.
2. May not allow you take full advantage of hardware (in my case, it had no clue
how to use my video card, but that too can be tweaked, configured in the VMware
software - I just didn't figure out how to implement it.) -also you get only the
Ram you allocated and not the full System RAM. This may or may not be
sufficient to your needs.

Dual-booting:
Pros: Can be really simple these days if you're in a position of installing both
OSes from scratch - I had a really tough time trying to resize the windows
partition because there was a "hidden" partition involved . Yes, I defragmented
and all that, but it was a pain in the ass.

Here is what I did for my laptop.
Brand new install of XP Home edition using the Windows Partitioner during the
initial setup to have it live in a small partition (about 1/3rd of the drive).
I then told it to allocate the other (roughly 2/3rds) of the drive as
"unallocated"--
After the XP install, I used a GPARTED liveCD to format the 'unallocated' to
ext3.
When installing the Linux distro (Hardy Heron Xubuntu -alternate desktop ISO),
it turns out the "hidden" partition could easily be used forLinux swap (in fact,
the GPARTED LiveCD identified the hidden partition as "Linux Swap", which worked
without ruining any Dell/Windows data.

Not all distros are the same, and your mileage (below) may vary.
The install of Hardy was done using the "Alternate Install CD" - it had
discovered the NTFS file system that housed XP [this is vital. IF the Linux
distro can "See" your Windows OS disk allocation, it's a good thing.]
Installer then told me that we should be able to install GRUB onto the Master
Boot Record without any errors. In my case, it was correct - and it's been good
fun ever since. I've set Win XP as the default OS to boot to, since my wife
uses the machine for apps that only run under MS Windows.

Summary of Dual Booting-
If you don't mind rebooting to use Linux, and you can install both OSes fresh
(do the install of Windows first is recommended), then go with dual-boot.
Both OSes should then be able to get the most out the present hardware (and also
get all the system RAM as well).

Again, the above is subjective information based on my experiences, and may not
work with every combination of Computer, MS OS, and Linux OS, so please bear
this in mind- I'm just trying to help out.