Try before you buy, so why not do that? Obviously there are differences between cheap or free PDF programs and expensive ones. Serif 8PDF for £10 is good value for money too, but it won't produce PDF files from Word like Desk PDF.
I use PDF Factory, which is also good but cost twice as much as Desk PDF. However, when I tried to prepare a PDF of my friend's book for professional printing, I was told that the PDF file was unsuitable. So there are limitations to cheap programs.
Desk PDF does not mention support of hyperlinks or bookmarks. It does have some options for compression and font embedding which is important to control output file size and quality, but it also seems to lack options for document security.
Serif PagePlus9 will produce professional quality PDF files for a lot less than Adobe Acrobat, but again not from any program. A PDF printer driver like Desk PDF, Jaws, or PDF Factory is cheap and convenient for most users. If you just want to share documents through the web it should be sufficient.
Embedding of fonts for files to use on other PCs who may not have your fonts installed.
Support for Bookmarks and hyperlinks
Document security to protect copyright information if required
PDF/x-1a support for professional output
Ease of use
Since this question often comes up, I will post here a full set of Publish to PDF dialogue boxes from Serif Page Plus 9 to show just how many options there are for producing PDF files. You may not need so many, but it is good to know what the options are.