I use the WTL myself. The WTL is a thin layer on top of the native Win32 API. It was based on the very rudimentary windowing library included with the ATL.
The advantages of the WTL for me are: it produces very lightweight and snappy GUI applications; and if you can follow Petzold, you can figure out the WTL. A lot of the newer GUI libraries make simple things easy, but when you need to delve deep into the Win32 arcana, tend to be more of an impediment than help in my experience.
Some drawbacks are: it is Windows-only; it relies heavily on inheritance, so you can end up with cumbersome class hierarchies; and it supports multiple Windows versions with #define's, so you can't easily use the latest features available, while gracefully falling back to older versions.
To give you an example of this last drawback, if you want to support back to Windows XP, then your file dialogs are going to look quite dated compared to the Vista+ dialogs.