The Windows diags are not as good, but they are capable of running without brining the server down. Since alot of servers are in a non-stop shop, this is a requirement.
One tip on the DOS utils - if you're tracking down a bad DIMM, don't bother with the whole memory test - simply run the Noise test. Also, if you create floppy to run DIAGs from and hate waiting for all SCSI-2.TM to load, simply rename it (and whatever else you don't want to test). Remeber that this removes the ability to test that item during that session until you rename it again.