Git's easy branching is a huge benefit for working on new features/refactorings in isolation. It is much easier than SVN's.

Git works fine on Windows, take a look at: http://code.google.com/p/msysgit/

I can't say for all distributed version control systems, but in case of git, it's extremely easy to setup a new repository. Create a new directory, type 'git init', and you're good to go. This compared to Subversion's insistence to setup a repo directory elsewhere and then checking that out. I save about 3 minutes (including time to ssh to a remote server to create the repository), but those 3 minutes feel very painful so I didn't create repositories until I've written a fair amount of code. Now I create a repository almost from the start.

Branching and merging is very useful even for single developers. It's not the number of developers, it's the size of the project. For larger projects I'll want to branch often to experiment with things. I can delete the branch after I'm done with the experiment.

As for Windows support: I've heard that Msys-Git is in a very good shape today. I haven't used it myself though.

No need to set up a central repository. Your full history resides in your working copy.