Are there any advantage using Wine over VM to run Windows programs? (or Vice Versa)

It really depends of what you want to do, or what kind of Win apps you want to run into Ubuntu... There's no "better" solution.

Wine is really defined to "emulation" of a software into a linux environnement.

VM's is defined to run a full OS into another one (a kind of OS "Inception").

Games are great with Wine (just think to add Winetricks package too for DLL, DirectX and Microsoft SQL stuff). But don't even think running a DirectX 3D game into a virtual machine (or you have a hardcore computer with huge resources).

Microsoft Office suites (especially 2007 & 2010 versions) doesn't run great with Wine (app crashes) but in this case, running them into a VM can be a good option.

...and so on...

VMs doing fine but I think you may find it slower than wine. And you may need more RAM to run a whole OS in VM, but you can do almost everthing in Wine more faster than VMs do. I personally use Wine because my 1GB RAM cries when VM runs out of memory and crashes whatever I was doing in the VM (almost every time). Wine does not support Adobe Software (even installation fails).