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WinDbg is the most powerful debugger by far imo, however it's nowhere near as user-friendly as some of the alternatives.
It depends what you're trying to do tbh.
If you're debugging your own code which you wrote using VS, then I'd use the builtin VS debugger for that.
If you're debugging regular non-packed/obfuscated applications and you don't mind a bit of a learning curve, then I'd use WinDbg.
If you're debugging x64 native applications then I'd use WinDbg.
If you're debugging heavily packed and/or obfuscated targets (x86 native) then OllyDbg is probably the way to go (due to the large amount of helpful plugins to remove some of the more tedious work).
If you're doing kernel debugging then I'd use WinDbg.
etc
Others obviously have other preferences. I'd suggest just giving the most popular tools a try and finding what you're most comfortable with. It's all about finding and using the best tool for the job.
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