The Macintosh menu bar is certainly preferable to me, and there are some good arguments for (and against) its use.
The main argument for a persistent menu bar across the top of the screen is that it becomes an infinitely-large target along the top edge, which according to Fitts' law makes it much faster to target with the mouse. It's also notable that in Windows (which, as you probably know, still uses per-window menu bars), many core applications are losing their menu bars entirely behind drop-down menus and disclosure arrows (see Internet Explorer, Windows Explorer, etc.), which makes finding things like the Edit menu (for copy and paste) much harder for users who haven't memorised the keyboard shortcuts than it once was.
The main argument against a persistent menubar is that it makes the interface inherently modal. While I have a specific application focused, I'm in that application's "mode", and I am forced to actively change application focus before I can interact with the menus for another application. If I have a word-processing document open and a web page open in a web browser, it's not always immediately obvious which has focus (which can make choosing things like "Window > Minimize" have unintended consequences). It's worth noting that even without a persistent menu bar, desktop window managers tend to be somewhat modal since keyboard shortcuts (e.g. for copy and paste) only apply while a given application (or document) window has focus. Since that limitation seems unsurmountable, perhaps making the interface seem more modal is a good thing (and could explain why Windows users tend to run their applications fully maximised much more often than Mac users do).
It may also be that on today's 20-inch-and-larger displays the distance between the window you're interacting with and its menus is too great (the original Mac had a 9-inch screen with a resolution of 512×342 pixels). Compare a modern Mac's resolution (the one I'm typing on is 1920×1200) with the one below from Computerhovel.com — the distance of the window from the menu bar could never really exceed 100 or so pixels.
Here's a great blog entry by StackExchange's own Jeff Atwood about the relative pros and cons of the Mac menu bar that touches on a few of my points and adds a few more.