After having used both for years, I'd say, for me at least, ActivePerl is a much more convenient choice. The PPM installer included in ActivePerl allows you to add alternative PPM repositories which will give you access to almost all useful Perl modules available on CPAN - but prepared and tested for Windows. This was for me, in the long run, a much better (and more robust) choice. Even for the Windows version of the Apache HTTP server, there is a precompiled mod_perl (2.0.4) ppm available which will (did for me) work out of the box with ActivePerl 5.12.1 and Apache 2.2.15.
I think I dropped Strawberry Perl after trying to install DBI + DBD::mysql on Windows 7 (which is a no brainer in ActivePerl; just click on the ppms and choose install).
But maybe that's solved by now. And maybe one can choose the directory where Strawberry Perl gets installed (I couldn't).
BTW: for compiling your own Inline or XS stuff, just install the MinGW compiler by ppm (I didn't do that, but it looks interesting).
Addendum: after reading the comment below, I checked Strawberry Perl again and it's now possible to change the installation directory, which is a denoted feature of the 5.12.0 release (which is the actual version). This would solve one important (IMHO) disadvantage of Strawberry Perl (compared to ActivePerl).