I think the Windows on Mac issue must be looked at a little differently on the MacBook Air, due to the relatively small SSD when compared to, say a 750GB hard drive.
I installed Windows XP on my MacBook Pro back in 2008 and have just migrated to a new 13" MacBook Air with the 256GB SSD. This is actually a big step up from my old MBP which only had a 160GB internal hard drive. Based on the software I wanted to run (powerful GIS package that used lots of resources), I found a significant performance hit while running under Parallels as opposed to Boot Camp. But Parallels was very convenient since no reboot was needed and it is integrated nicely into the Mac environment.
I installed Windows on that 2008 MBP in a Bootcamp partition and also in Parallels. One pain with this is that Windows sees the Parallels and Bootcamp versions as though they were actually two different computers, so I had to use phone registration at Microsoft to sort that out.
But after getting it all working, I really regretted creating a hard partition for Windows on that 2008 MBP because it ate up about 60GB of my 160GB. I think that would bother me even more to permanently dedicate a big chunk of my SSD to Windows. With a "normal" Parallels install, the entire Windows filesystem is treated as a single Mac file that can grow and shrink as needed. Unless you really need high performance, that is probably the way to go on the MBA.
I don't know, I suppose the latest version of Parallels is faster than my 2008 version, but I'm sure you would take a performance hit by using it instead of Bootcamp.
Have thought it could be handy to have Windows on my MBA for times that I'm away from my desktop machine, but for now I just don't want to eat up all that free disk space, which I plan to use for some video editing.