In a perfect world, I'd choose debian-interix or pkgsrc-interix Perl (not the ancient Perl that ships with Interix/SFU/SUA) since it provides the most POSIX / UNIX -like system (including real copy-on-write fork, not Windows fork emulation from Cygwin).
I have in the past (and it is installed on Windows machines here), but not everyone can / will install SFU/SUA just for Perl. In those cases I'd recommend ActivePerl, primarily for the interface's familiarity to Windows users (PPM graphical shell versus CPAN) and its integration with the Perl Dev Kit (PerlExe, PerlNET, PerlSvc, and friends).
Also, contrary to what others have answered, you can use CPAN (and the CPAN shell) with ActivePerl (though it does involve installing the necessary development tools via PPM first) if you need it.
