There is much hype about VDI at the moment, and as usual this is clouded by the numerous marketing angles being employed by the various players aiming to make some money out of VDI! Unfortunately, this can really confuse matters and so here's why I think you should be looking at VDI:

Legacy Applications
We've all got them, and they can troublesome if not impossible to deliver using Application Virtualisation technology like XenApp. The reason for this is usually that they simply weren't designed to run in a Server environment, but they will run happily in a Desktop environment.

Many Applications
If you're trying to deliver lots of applications as if they were on your desktop, this can be achieved using Application Virtualisatin like XenApp, but it can be an administration overhead as you'll have to manage lots of different servers and configurations for your multiple applications. So delivering a desktop with the core, majority or all of your applications pre-installed and running in a Desktop environment has advantages.

Usability
The advent of PCs has meant that users are instantly familiar with the Desktop environment, and although Applicarion Virtualisation has got very good at being integrated with the Desktop, it's not quite the same experience and in my experience can cause confusion and/or problems. This is an area often overlooked by technologists, but for me is the number one requirement to get right.

Security
Application Virtualisation increases security by running applications in the Datacentre, but Desktop Virtualisation goes the whole way by running everything in the Datacentre! This can be particularly useful for organisation with secure environments and/or offshore offices.

There are also reasons why VDI isn't the best option for you, and if you listen to prominent industry analysts they will talk about things like user concurrency not being as good on Desktop Virtualisation. However, I think if any of the above reasons apply to you then start looking into VDI, and if not stick with Application Virtualisation!