You better wait for Windows 7.
Otherwise, it depends on your hardware. If you have a lower grade Notebook or a Netbook, you should definitely pick Windows XP, Vista doesn't work well (fast) on such machines.
I personally use Windows Vista everywhere, and I am pretty content with it.
But at work, I am now using the Windows 7 RC, and aside from a nVidea video driver issue, it seems to run father and more smoothly than Vista.
If you want to run the latest games, you should probably pick Vista, since it also comes wth the newest version of DirectX (whichever that is, I can never remember this stuff), which might provide some games advantages and be even a prerequisites for others.
Vista has some optical improvements above XP (neater design, basically), and a few improvements "under the hood" that can be significant for aspects like reliability or security, but you won't notice many of them. The only thing that you will notice will be more or less annoying at first, unfortunately - the User Account Control, that warns you whenever a program requires elevated privileges, since such programs are potential security risks (Virus, Trojans, Worms, Rootkits, they all neight elevated privileges to screw your PC up or spy it out.). Under XP (with an adminstrator account), such applications would just have the privileges and could do whatever they want.
But there have been a few usability improvements in that regard.
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