The recommended vehicle really depends on your needs.
Here are the most common scenarios:
1) I only need to run a few Windows apps, none of them games, 3D apps, or other graphics-intensive apps. None of them are 64-bit. (Parallels)
2) I only need to run a few Windows apps, none of them games, 3D apps, or other graphics-intensive apps. Some or all of them are 64-bit. (Fusion)
3) I only need to ruin a few Windows apps, but some or all of them are graphically intensive. None of them use DirectX versions newer than V7, and none are 64-bit. (Parallels)
4) I only need to ruin a few Windows apps, but some or all of them are graphically intensive. None of them use DirectX versions newer than V7, and some or all are 64-bit. (Fusion)
5) I need to run apps which use DirectX versions newer than V7, or run best with native hardware access, or I'm running Windows Vista and want to see the fancy effects. (Boot Camp)
6) I need to run mostly older Windows applications, and would rather not buy Windows. (CrossOver)