I recently attempted the lazy install of Ubuntu (12.04) via Wubi. I'd normally never consider such black magic, but it's not my machine and I didn't want to risk wiping the wrong partition. Wubi is certainly convenient and foolproof, I'll give them that, but it's not exactly a useful way to spend your time.
The main problem is that it's just too slow. Wubi does some magic to install itself onto a Windows (NTFS) drive and then somehow boots from it. It is basically witchcraft. Those of you who have used the NTFS driver in Linux before might be aware that although it's usable for the most part, it does tend to consume an awful lot more CPU time than your ext3/4 partitions. And that's the killer. Quite frequently, the machine will just freeze for 5+ seconds while
top shows that the NTFS driver is hogging the processor. This isn't a usable system.
There's a confusing array of conflicting information available online on Wubi's performance. Apparently, Wubi is officially slower than a native install. But it should take a minor disk access performance penalty, and it shouldn't be noticeable under normal usage. However, there are also plenty of people who notice it under normal usage. Of whom, I am one. It may be that with a fast disk with a lot of free space and an unfragmented file-system, performance is acceptable.
But also, installing via Wubi gives you a file-system within a file-system. That's okay, FS are generally very reliable now. But on the other hand ... it is an extra risk.
And yes, in case you're wondering, I then installed the old fashioned dual boot way and it's running wonderfully.
It seems strange Canonical support Wubi. If it worked okay then it would be great, but it doesn't.