At this time, Wubi does not work with Windows 8 default boot-loader. Thus at this point Wubi would not work on a new Windows 8 machine.
Citation fom WubiGuide
Recently I've learned of Wubi, a way to install Ubuntu right from Windows.
Besides installing from Windows, I would like to know key differences between a regular "alongside Windows" or Dual-boot Ubuntu installation and one done with Wubi. Are there any disadvantages (for example a performance penalty) or incompatibilities I should look out for when using Wubi?