I tried Conque and didn't care for it, refreshing was slow and I favored the detached approach.
I do, however, encourage everyone to try out the different options to find what works for them, what works for me doesn't work for everyone. Conque is a really neat plugin, it's definitely worth a shot for people shopping around.
Vim-shell isn't bad, but the version on the site is outdated. You have to scour their mailing list to find a working link to a patch that works with vim 7.2.
I really hope that a real shell gets implemented inside vim at some point, it's almost enough to make one switch to Emacs.