Which wasn't really free if I remember correctly. You had to buy or crack it. Also, I don't think the performance really compared on consumer desktop hardware. As annoying as dual-booting was, it was the way all of my hobbyist friends and I preferred back then.

edit: grammar

Hardware virtualization for intel/amd processors did not come until 2006. So you could run VMWare and get decent performance with paravirtualized drivers, but running a completely different OS would have required software virtualization, and it was not fast by any means. Booting to the other operating system was a much better experience since the OS would then have full use of the resources without software virtualization being in the way.