I guess it depends on how you plan on monetizing things. With a desktop app, you'd be generating revenue primarily from paid buys. With a web app, you can always charge a monthly fee (or even a tiered fee depending on access levels) and maybe even support a free/trial version with advertising.
Also, why limit yourself to one or the other? Use a framework like Adobe's AIR and give yourself the best of both worlds.
Where do your skill sets lie? If you have a ton of experience building desktop apps and not much familiarity with the web, go desktop first. If you're a web developer, web first. Play to your strengths.
How about designs? Know any web designers that could design your web app for you or would it be easier to blow something out on the desktop?
Is the cross-platform aspect of the web worth it, or are you going to build primarily for Windows or Mac or Linux and be comfortable with that?
There are plenty of considerations. Play to your strengths.
EDIT (September 2012): Seems like this post still gets some traffic 3 years later. It's woefully out-of-date at this point and doesn't take into account things like, I don't know, mobile. :-) YMMV!