- Do I need USB?
- Does the PC side of the bootloader software work on my preferred OS?
- Does the bootloader support the chips I'm currently using?
- Does it look like the bootloader is under active development? Is it likely to support new chips reasonably soon after their introduction? Would it be hard for me to add support for a new chip if I had to?
- How much program space does it require?
- Does it need a UART?
As for the UBW, there's nothing magic about it. Hardware-wise, it's basically the minimal circuit that supports USB and it's easy to plug into a breadboard. When you start a project with a USB PIC, you're probably going to end up wanting everything that's on the UBW, so it's nice to treat it as one unit that you can just grab off the shelf. You can breadboard the whole thing youself in 15 minutes if you'd prefer (I often do when mine are tied up doing other things) but it's a bit messier.
Also, there aren't any other common ways I know of to buy a PIC with the bootloader burned in. picaxe and basic stamps have one, but I think that limits you to using their development tools. And the UBW comes with software that lets you make use of it without programming the PIC at all; I don't know if that qualifies as special, but it can be quite nice.