Twhirl is by far the most prominent Windows Twitter client, although it's far from the only one. You can get other dedicated clients, widgets, Firefox plug-ins and more. If it can show basic code, someone somewhere will have put Twitter into it.
The benefit of Twhirl (an Adobe AIR application) is that it hooks into many of the popular services that have sprung up around Twitter, including TwitPic, scanning for tweets of interest and shortening URLs to get the most out of your 140 characters.
It spellchecks your posts before you make them, notifies you of new ones, and hooks into other similar services such as Facebook's status updates. You can also record video onto the Seesmic service and twitter the link in one easy go, although we've yet to see anyone do this on our follower lists.
Twhirl isn't pretty, but it offers a number of themes to work with. The benefit of having it is your tweets are always at your fingertips.
The disadvantage is much the same: the constant flow can be more distracting than a hundred Wikipedias, and that's before you get involved yourself.