I've used a whole bunch of these with work.
Various VNC's, RDP, Windows Remote Assistance, LanDesk etc.
RDP is easilly the best for user experience, with it rendering everything at the client rather than copying everything as the others do, as a result it often does feel like you are using the same machine.
We've seen no issues for CPU load or network strain, although you will notice if the connection is very bad no matter what you use.
RDP can help you with this by rendering a smaller desktop, and lower colours, and turning animation effects off.
We have it setup so that we have a VPN connection to the network across the interweb, then RDP to the machine we need. This has the added bonus of a secure connection with the vpn. If we want files we can just set up a network share. It's also easy to have the sound transfered across the RDP, and even printers and devices. It also allows full screen regardless of the different graphics hardware, and screen hardware, so I can have 1650x1024, even though the servers only at 1024x768 etc. If using Vista you can even make Aero work.
It does however depend on what you are aiming to do, horses for courses etc. RDP will limit you to one session if you are using XP Pro/Vista Ultimate or Business. I think it's' 3 with win2k3, unless you add extra licenses with terminal services. You can't have someone seeing what you have on screen at the server like you can with VNC/remote assistance. Also RDP struggles handling complex 3D DirectX type stuff, where as VNC would probably also struggle but more on a performance basis that it couldn't render enough frames to make it worth using. VNC is also more cross platform. However RDP client is built into all Windows versions...