I personally like windbg more on windows. It's a light standalone tool not tied to a behemoth editor and build system. It's more command line oriented. Remote support is a bit more flexible. It's better at debugging without symbols too.
The kernel debugger, ntsd and windbg share a debugging engine, and visual studio is a different one.
At higher levels, VS is a much nicer experience. If you ever need to get down to lower levels, especially windows libraries and services, the power of the ntsd/windbg engine and its extensions make it much more useful. Knowing it also helps when you eventually need to use KD.
