It depends. If you want an authentic or nostalgic experience, the choice is obvious. Get a few of those read/write errors on your disks and remember it all. Sit around waiting for everything to load. Enjoy not having the option to save at any time. All that is made up for every time you look up and see that Amiga logo!
If you just want to game, though, I don't see any issue with win-uae, especially if you have a good joystick (I use an X-Arcade, myself). But I worry that no matter how close emulation gets, could it ever be 100% accurate? That doesn't matter in most cases, but sometimes a developer has gone to such great lengths to make the perfect experience on a particular set of hardware. Maybe we do lose something vital when we emulate.