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.
I don’t have VS handy right now; maybe someone else can weigh in...
Edit: On first glance, this looks informative: https://stackoverflow.com/questions/3438489/using-windbg-fro... . Be sure to read all the answers.
VS Only: rich extensions for languages. GUI debugging(wpf visualization etc.)
Windbg: kernel debugging (drivers etc). Scripting. Better command line interface. Fully expose sos. Dump corrupted heap objects. Better support for C++
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.