Ok, I've been using this 'Windows Live Writer' for a handful of posts. And while at first I was a little hesitant to use it I have to say - I'm impressed. It's integrated perfectly with my WordPress 2.5.1 install and I've had no issues at all with it. It's even uploaded images in the right are for posts and everything.
While it wont be the end all for every user, nor will it be able to replace my simple posting and editing of a web site, general posting will no doubt be easier using this bad toy!
Just to make a note - you have to get a Live account to download this program. Which is actually a pretty cool thing. Includes a Hotmail email account, Skydrive (basically file sharing) and more. I didn't like it at first, but dag - I love it now.