I've been reading up on ClickOnce and it is a very useful thing for easily deploying simple winforms app over the web (like an applet). This MSDN article followed by this FAQ are great overviews to understand it. It also helps having Shawn Farkas only two doors down the hallway ;) [Update:] And there's a ClickOnce Team blog.
As an end-user, the things I like most about ClickOnce are:
As I said earlier, I'm not even close to a security expert, and I think I've just said everything I know about ClickOnce. If you want to know more about it, check out Shawn's Click-once category.