I've found WUBI most useful in situations like these:
The laptop comes pre-installed with 4 primary partitions, like Manufacturer restore, Windows Preboot, Windows OS and Windows Data. There is no way to add extra partitions for a native Linux install without combining or deleting existing partitions.
WUBI works great in these situations if there is a basic (not dynamic) uncrypted windows partition available. It creates a large file in the windows drive and uses it for storing the linux filesystem.
Also, I've experienced one occasion where Wubi ran just fine for weeks, then wouldn't start anymore after a linux kernel update. Windows would still run just fine. The solution was to boot the computer with an Ubuntu LiveCD and edit the Grub startup file, details are here:
http://tdelphihobbyist.blogspot.com/2010/12/simple-fix-for-my-broken-wubi.html
So, my recommendation would be to primarily install Linux on it's own partition. If that is not possible, by all means use Wubi. It will give you a chance to run Linux without any virtualisation and experience it's versatility and speed first hand.
By default, Wubi uses this chain of booting: MBR -> windows bootloader (choose Ubuntu) -> grub bootloader -> Linux. The default boot OS will be windows, and it can be changed from windows' side My computer properties.
On a native Linux install, the boot goes by default: Grub on MBR -> Linux. You can choose windows from the grub menu, but it's not the default. To change windows to be grub's default boot option, use these commands in Linux terminal:
cd /etc/grub.d
sudo mv 30_os-prober 08_os-prober