Windows users nowadays have a real choice, between two excellent distributions, MiKTeX and texlive. texlive on windows has only in recent years been a real challenger to the long-established MiKTeX, and even now MiKTeX has features that texlive lacks. Both are comprehensive distributions, offering all the established TeX variants (TeX, PDFTeX — both with e-TeX variants — as well as XeTeX and LuaTeX), together with a wide range of support tools.
Both MiKTeX and texlive offer management tools, including the means of keeping an installation “up-to-date”, by reinstalling packages that have been updated on CTAN (the delay between a package update appearing, and it being available to the distribution users) can be as short as a day (and is never very long).
MiKTeX, by Christian Schenk, is the longer-established of the pair, and has a large audience of satisfied users; texlive is the dominant distribution in use in the world of Unix-like systems, and so its Windows version may be expected to appeal to those who use both Unix-like and Windows systems. The latest release of MiKTeX — version 2.9 — requires Windows XP, or later (so it does not work on Windows 2000 or earlier).
Both distributions may be used in a configuration which involves no installation at all. MiKTeX’s “portable” distribution may be unpacked on a memory stick, and used on any windows computer without making any direct use of the hard drive. The web page texlive portable usage describes the options for installing texlive on a memory stick, or for using the texlive DVD with no installation at all.
Both MiKTeX and texlive may be downloaded and installed, package by package, over the net. This is a mammoth undertaking, only to be undertaken by those with a good network connection (and a patient disposition!).
A ready-to-run copy of the MiKTeX distribution, on DVD may be bought via the MiKTeX web site. MiKTeX may also be installed using ProTeXt, on the TeX Collection DVD.
The TeX Collection DVD also provides an offline installer for texlive.
A further (free) option is available thanks to the CygWin bundle, which presents a Unix-like environment in Windows systems (and also provides an X-windows server). The (now obsolete) teTeX distribution is provided as part of the CygWin distribution, but there is a CygWin build of texlive so you can have a current TeX system. TeX under CygWin is reputedly somewhat slower than native Win32 implementations such as MiKTeX, and of course the TeX applications behave like Unix-system applications.
BaKoMa TeX, by Basil Malyshev, is a comprehensive (shareware) distribution, which focuses on support of Acrobat. The distribution comes with a bunch of Type 1 fonts packaged to work with BaKoMa TeX, which further the focus.
This answer last edited: 2013-04-11
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=syswin32