I use BootCamp and Parallels. Parallels is used for personal finance (MS Money, 401k website that only works with IE). BootCamp is used for games and the rare DVD rips.
BootCamp is faster. But Parallels is much more convenient. If you're doing office-app type stuff, then Parallels is generally a much easier route. But if you need full performance, like for games, then you need BootCamp.
And if you want the maximum covenience, use Parallels (or Fusion) without a BootCamp partition, as they then dynamically adjust the disk space used accordng to what's needed. Whereas with BootCamp, you have to decide how much disk space to carve off for a partition and you're pretty much stuck with it from then on out (unless you want to reinstall everything to change it).