BootCamp is fastest, using all hardware resources. But you must shut down OSX to start in BootCamp.
You can also load Windows into VM (virtual machine) such as VirtualBox or Parallels or VMware Fusion. Under VM the OSX sets up a protected space that can run Windows (or Linux) software at the same time as OSX is working. But now resources must be shared. In fact, when setting up s Windows VM you will be asked how much RAM will be dedicated to VM (thus not available to OSX).
To run VM, you need more RAM usually. But removing a VM-Windows is easier and safer than removing a BootCamp-Windows.
Both ways are safe when done according to instructions. Just decide if you want to have both running at the same time or not.
To complicate matters a little bit more ...
If you BootCamp Windows, you can install VM and have it use the BootCamp -- that way you have the choice to either VM or full-boot Windows as you see fit.