I downloaded sun's yesterday because I'm using Mozilla now. After it installed & I go to a page that needs it my clock (not windows) now flickers in time with the page. Thankfully I don't go there very often.
Microsofts own java will run more efficiently because it will be optimised more towards windows, where-as sun's java package will run just that bit slower.
I find they both do the job in the end tho, and thats all that really matters