I recently used the OSGEO4W installer to install qgis on a new laptop. I was really surprised how easy it was to get qgis up and running with all the options that are fun to have. Here is a desrciption of all it features from the qgis website.
This is the MSVC based build of QGIS. All dependencies are supplied via the OSGEO4W installer, including python, gdal (including MrSid and ECW Wavelet compressed raster support) etc. This is most suitable for people who have fast internet connections and who want to be able to update dependencies from the OSGEO repository easily.
I had no problems with the installer and love that i can view mr sid imagery along with other data. I think that this was one of the last features that open source GIS packages needed to be highly viable.