Some like to test their OC's with software and then once a stable setting is found, enter it into the BIOS for a more permanent overclock. I wouldn't want to run an OC purely off software, unless I had saved profiles for different tasks... So that when you're just surfing the web or whatever, you could have it at stock speeds, or a more conservative speed... then when you game/render/use heavy lifting programs, switch profiles to a higher OC.
Personally, I just go straight for the BIOS. I'd rather not have an extra program running telling my CPU how to run, when I can just set it in stone on my own. This is assuming you don't mind running your CPU at this speed 24/7.
From the BIOS since if the system isn't stable the OS has not been loaded and don't affect this.
With software (like easy tune, AOD) u can do it, the problem is that if the OC isn't stable u get BSoD or the rig stay freeze. With those methods u can cause damage to the OS and important files like the MBR.
Windows overclocking may get you a ballpark speed to aim for, but trust nothing less than the BIOS for making sure that you've tweaked everything to complete stability. Plus you'll have one less application starting up when you boot your PC.
The only real advantage with doing it in Windows is that if something goes wrong and your PC locks up or reboots, you will usually have no trouble booting up again since the changes are lost after a reboot (this doesn't appear to be the case with Abit boards though). On the flip side, the instability may not be due to the clock speed being too high, but with background processes interfering with the running of the software changing your parameters. With the BIOS there's almost nothing running.