I have used both pcAnywhere 9 and Terminal Services for Win2k Server.
Terminal Services seems to be quicker overall, even though it can only run at 256 colors. Even against pcAnywhere at 256 colors it is quicker.
They both support encryption, which is a good thing. Terminal Services will use Windows encryption, which I belive (but an not totaly sure) is 128bit. pcAnywhere has options for no encryption, public key encryption and pcAnywhere encryption. I'm not sure how many bits pcAnywhere encryption is, but that is what I always use for pcAnywhere.
For Terminal Server you can download a Win2k/NT client off the web, the floppy disks are the only way you can setup the client on Windows 9x, which is kind of a hassle (even though you could just burn them to a cd, I forget but someplace on the Win2k server it has a folder of data that it just copies over to the floppies to make the client disks). With pcAnywhere the problem is that you need two copies if you want to stay legal, one of the client and one for the server, but that is if you want to make sure everything is 100% legit.
pcAnywhere has a lot more options than Terminal Server, such as setting up gateways and whatnot, and it is pretty rich in features such as what to do when someone disconnects from the remote machine, like says stop pcAnywhere, or wait for them to connect before stopping, or just lock the remote computer, a whole bunch of stuff.
Then again, with Terminal Services it is easier to allow multiple people to use the same computer because they are controlling their own Windows session, you can have more than one user pcAnywhere into the computer but I belive you will be working on the same desktop, which would cause problems.
I've never used it myself, but there is another option that is free, called VNC, just serach Yahoo for it. I don't know if it offers things such as encryption or whatnot, or if it can be run as a service such as terminal services or pcAnywhere.