I prefer Adobe AIR.
But before dwelling into Adobe AIR, you must learn first Adobe Flex
(now FlashBuilder).
Actually, AIR applications are just "windowed" version of a Flex Application. When you learn flex you are are actually, at the same time, learn Adobe AIR. The same code in flex can be converted into an air application.
What's a "windowed" application? Flex applications are browser based applications that can run in all kinds of browser (IE, FireFox, Safari etc. ) as long as that browser supports Flash player. Adobe AIR can convert the same application and install it as a desktop application on your machine. The only difference between the two is Adobe AIR applications can do File manipulations.