If you get a free legitimate copy of windows from work or school MSDN program, or free/almost free download from HUP program then there is no difference.
If you are asking about a pirated/stolen copy of windows vs a legitimate one:
You are paying to have guaranteed update support for the support cycle of that OS.
If you pirate it then Microsoft can (and will ) deactivate it as soon as they figure out it is pirated/stolen.
Not to mention that many pirated copies are also modified to have viruses, and key loggers built into them.