If you want to run Windows on an Intel Mac there are basically four choices.
This is an either or situation, which means you are running Windows or OS X, therefore if you want to change applications you need to reboot.
Has the advantage that you are when running Windows for all intents purposes your mac is a Windows PC. This means that you get the full power of your Mac for running Windows.
You need a licensed copy of Windows XP *SP2* or Windows Vista
Comes as part of Leopard, so if you have Tiger you will need to upgrade.
Parallels and VMFusion
These applications create virtual Windows PCs, which allow you to run Windows (and Windows applications) at the same time as OS X and therefore you can switch between them withoout needing to reboot. There is a slight performance hit when running Windows in this way but for most people this is negligible. Also you will need a lot of RAM to run these, at leat 1GB and preferably 2GB of RAM.
Coherence mode on Parallels allows you to run Windows applications seamlessly alongside Mac applications.
Both require a Windows licence, but doesn’t need to be SP2, with Parallels you can even install and run Windows 3.1! Parallels XP support is excellent, however support for Vista is less good, so you can’t use things like Aero for example.
Allows you to run Windows applications (some but not all) within OS X and you don’t need a Windows licence as you don’t install Windows.
Downside is that it doesn’t work with all applications.
Therefore there are four choices when it comes to running Windows on a Mac. Which is best? Well that depends much more on your needs when it comes to running Windows.