Using Git on Windows is not bad at all. The built-in support for Subversion is much better than the solutions I've tried for Mercurial. The big thing is that it is faster; it is fast enough to actually use with large repository.
Git Extensions is a nice GUI frontend. I haven't tried TortoiseGit because I don't want to add yet another set of items to my already-long context menu.
As a Subversion client, Git works better because it's very willing to alter history, whereas Mercurial seems to be designed more with the philosophy that history is sacred. Being able to manipulate commits before checking them into the central server is especially important.
Some related links: