The only burning program I really use is Windows Media Player, since it's convenient for me.
I have briefly used both Roxio and Nero, but am not all that savvy on their features.
I might give MyDVD a try to be able to make some VCDs. Although I've heard that only some DVD players will play VCDs...is this true? I always play DVDs through my PS2, because I'm cheap. ^.^