VMWare
- is very user-friendly
- has GUI wizards for anything you might want to do
- is also slightly faster than Qemu.
- Supports a very wide range of guest operating systems (like Mac OS X)
However,
- it abuses the host Linux system (nice -10, lots of kernel modules) disrupting other native applications
- it requires root privileges to run
- Uses many kernel hooks that may break with recent Linux kernels (gfx drivers suffer from this too).
- is proprietary software, not open.
- needs a license to work, which can expire at any time and demand to be renewed.
Qemu by contrast
- is a little slower
- you need to fiddle with its command-line options
- you need to compile its simple KQemu kernel module and insert it by hand
- Does not support many guest operating systems. (no Win Vista yet, no Mac OS X)
BUT
- it's completely open and free
- runs with a simple user account
- runs smooth and does not abuse the host system
- it will NEVER expire, never bother you with licenses and stuff
I vote for Qemu anytime, unless performance is a deciding factor or you want to host a strange operating system.
Running games and other 3d applications is not practical on any of those virtual machines.
Dual booting is a PITA: rebooting takes time and you usually need programs from both systems.
colinux is FAST. Faster than any virtual machine, BUT it is also insecure (your Linux kernel has complete control over all your windows disks)
Wine is nice if you only want to run 1-2 small windows apps but it becomes a problem as your needs increase.
A heavy Linux user's two cents.