I like XAMPP, because of the extra P (it installs Perl as well as PHP), plus it has both PHP4 and PHP5 with a utility for switching between which version you want to use.
WAMP has a Perl add-on AND a PHP4 add-on
I'll go with WAMP. I tried XAMPP twice, once a long time ago, when I disliked it because you needed to leave the window open while it ran. Then I found WAMP (I like to think I was the first one here that found it) and it was just so much simpler. I also tried it again about a year ago and there was still something I just didn't like. Can't remember what that was, exactly.
Anyways, WAMP is a lot more basic and closer to the result you'd get if you config'd. XAMPP just XAMPPifies everything too much.
And for those of you saying you prefer to configure it yourself, I'm going to assume that's because you haven't given WAMP a chance. Unless you're running a serious web server that gets loads of constant traffic, config won't make it any better.
And if you reformat a lot, it's rather exhausting to reinstall and reconfigure everything. WAMP at least makes this a little easier.