I definitely would agree CrossOver performs a lot better than Wine. In fact, it was initially reported to be included in the Asus Eee PC but somehow was subsequently dropped from the production model. Perhaps Asus just didn't want to pay the licensing fee and increase the overall production costs.

But personally I'd much rather run Linux apps in Linux, Windows apps in Windows. Of course that assumes either you are double booting or have the luxury of more than one PC. Unfortunately given the minimal specs of the Eee PC, it does not quite make sense to install a (sort of) double boot on it, though that has not stopped people from doing so.