I highly recommend at least testing the applications in Wine before virtualizing them. When Wine does work there are some important benefits over virtualization: performance is noticeably better, they're easier to run (links right off the Application menu), and they become integrated with the system (easy access to the files in your home folder, no windows in windows, and if they have a system tray icon it sits in the panel).
If every app you need works in Wine, then you also get the added benefit of not needing a copy of Windows for your virtual machine.
An alternative to testing them in Wine is to look them up in Wine's application database: http://appdb.winehq.org/
Currently, I also recommend using my packages from the Wine PPA rather than the packages that come with Ubuntu (which are also mine). You can get instructions here: http://www.winehq.org/download/deb -- on 9.10, 10.04, and 10.10 you can install either the wine1.2 or wine1.3 (beta) packages. The 1.2 one will remain stable, while the 1.3 will receive updates as new Wine releases come out -- which means 1.3 will generally work with more apps, but might break on an update as well.
The main advantage of using the PPA packages is that you can find an exe file and just right click->open with Wine without having to manually set it as executable.