I've recently read a very, verylong (about ten pages) head-to-head review of both Parallels and VMWare Fusion. In every category, the newest version of Parallels handily beat VMWare Fusion, from performance to graphics ability to number-crunching to memory usage to ease of setup.
However, if your needs are only to run Windows for VPN and other non-gaming tasks, and you don't need accelerated 3D graphics support, I would recommend you use neither of the above. For the kind of use you are talking about, there is no need to spend money. Sun's VirtualBox is free!
http://www.virtualbox.org/wiki/DownloadsVirtualBox won't let you run accelerated 3D Windows games, but it will easily do what you're talking about.