It depends on what you want to do.
Boot Camp offers the best performance, especially video performance (for playing games or movies and such).
I use Parallels (with Boot Camp) because it seamlessly integrates my Windows and OS X applications via their Coherence technology.
VMWare Fusion supports multiple CPUs and multiple cores per CPU, whereas Parallels is single-CPU/single-core at this time. VMWare Fusion also supports 64-bit Windows operating systems whereas Parallels only works with 32-bit. I'm using XP-32 now, but I will be using Vista x64 with my Mac Pro when I get it so I'll be forced to go to VMWare if Parallels has not yet advanced.