Bootcamp
Gain: better hardware support and performance (ideal for gaming)
Lose: Inconvenient rebooting, faffing about with drivers and disk partitioning
Parallels/VMWare
Gain: Ability to run MacOS alongside Windows (no rebooting). Great for working in anything that isn't hardware or performance critical. No need to worry about driver issues. No need to manage a physical partition.
Lose: Hardware support and performance not as good as bootcamp. Limited use for games or graphics intensive apps.
Windows XP: Overall better performance, but doesn't support DirectX10+
Vista: Looks better, supports DirectX10 but is a resource hog. For the sake of performance, I'm sure you could turn off a great deal of Vista services (Aero, themes, most network services etc.) in order to get the best performance. As long as there are good drivers for Vista, I'd probably use that.
So in short, it depends what you want to use Windows for. Personally I'd use a mixture of the two during my transitioning phase from Windows to Mac - eventually only requiring bootcamp for gaming only - having hopefully sucessfully changed my workflow to 100% Mac.