Wubi is a great way to test Linux (any Ubuntu variant) without having to mess with partitioning the disk or changing the boot loader. I recommend it to anyone who wishes to take the first steps into Linux, and afraid to jump to the deep water.
Other than that, Wubi is also perfect for people who cannot repartition their HDD for whatever reason it may be. Also, since it adds an entry to the "add/remove programs" control panel, it is easy to get rid of the installation if one finds it disappointing or want to proceed to the next level of installing Linux on a real partition.
When using Wubi, the installer will attempt to download the installation media using the bittorrent protocol. This might be a problem if you're using a network which doesn't allow torrents to be downloaded. This is the case with some corporate networks and with ISPs that block torrent traffic. In these cases, it is still possible to use Wubi, without having to download a torrent.
To do this, one needs to download the Ubuntu (again, any variant would do) installation media, or rip it from a CD/DVD, and have the ISO file in the same folder as the Wubi executable. Now, when running Wubi, it would recognize the ISO file, and skip the download all together. Since it is possible to download or rip the ISO without the bittorrent protocol, the problem is solved.
Enjoy your new Linux installation.