What is the best way to run windows on my mac?

What is the best way to run windows on my mac?
I have a particular program that i need to run, and it only runs on windows. I have a macbook pro

As Templeton noted, it depends and will at least be somewhat subjective. 
There are basically three options out there.  You can use a Windows emulator (Wine or the commercial version of it, Crossover Office), use Boot Camp to "dual boot" or use virtualization software (Parallels, VMWare Fusion, or VirtualBox).  Each has its advantages or disadvantages.
The Windows emulators have the advantage of being the one option that doesn't need the purchase of a copy of Windows.  Unlike Boot Camp, but like the virtualization options, this allows you to run Windows programs and OSX programs side by side.  The big problem, though, is that it is the least compatible option--a lot of Windows software either has "issues" or will not function at all.  The Crossover website has information on which programs are known to work and how well they are known to work. 
Boot Camp is the option that Apple ships OSX with.  You'll need a copy of Windows to install into the partition.  You'll effectively divide your disk into two parts and have two machines.  The major advantages are, first, you don't need to acquire separate software *AND* the Windows license.  As well, it's the highest performance Windows system.  What you have is truly a Windows machine.  That's both the good and the bad--you aren't going to be able to use OSX software at the same time, and you have to reboot to get back to OSX.  I've always thought it was best for someone who likes the Apple hardware and wants to use it for a Windows box--in that case Boot Camp is clearly a great solution.
Finally there's virtualization which seems to be the most popular way to handle Windows, especially if you need to run one vertical market package.  It has the advantage of allowing you to use your OSX software at the same time, and the virtualization gives an extremely high level of compatibility.  About the only thing that won't run is a virtualization package (and there's not a lot of reason to run that in a Windows VM).  There is a performance hit compared to Boot Camp, but it's minimal for all but the most demanding applications (that being high end games). 
It will chew up RAM on the OSX machine, but if you have at least 4 GB of RAM it will probably be manageable, especially if you only need to run one Windows program.
You will need both a virtualization program (there are three major ones) and purchase Windows.  Two of three programs are commercial packages (Parallels and VMWare Fusion), while the other is an open source option (VirtualBox).  Virtual Box has the advantage of being free, but it's by far the least polished of the group.
Which way is best?  As was noted, it depends.  I run VMWare Fusion on my machines, and I have used CrossOver Office for limited purposes.  I've not yet seen, in my use pattern, a reason to go to Boot Camp but I certainly can see cases where it might make sense.

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