WinPwn no longer works and the developer refuses to work on it to bring it even close to being up to date, so it's pretty much out of the picture.
Lazy developers. Tsk tsk.
But PwnageTool is for Macs and it creates a custom firmware for your device that can be jailbroken, unlocked, and stuff like that. You have to restore in iTunes to the custom firmware, so it erases all of your stuff.
QuickPwn is available for Macs and PC's and it simply jailbreaks a device. QuickPwn does not require a restore, so your information stays intact entirely.
I personally use QuickPwn most of the time, because I usually get errors when I attempt to restore using a custom firmware I made with PwnageTool. Saves me time and energy. It's a lot easier to use, also.