Are the download options better than the browser versions offered by poker sites? In a word - yes. In several words, you get:
The option to play multiple games at one time
Better graphics
The option to participate in tournaments
Access to all games offered by the site
Practically speaking, games usually run much more quickly on downloaded clients, since large amounts of data don’t have to be transmitted across the web with each move.
Also, you can save your preferences for different games so you don't have to continually input data every time you access a site through your browser.