Auto-cache: Instead of having to download every comic, xkcd actually downloads them for you and keeps them in a cache folder. Of course, if you, for some reason, don't want that, you can manually delete the cache folder's contents every now and again. But anyway, it only downloads the comics once, then uses the saved version.
Preview pane: Kinda nice, but also kinda useless. You can really only see a preview of the current comic, and it's very small, so the image is blurry. Still kinda nice though.
Exclude: If you come across a comic that is not so funny, you can add it to an "excluded" list, which will prevent it from being used again.
Parameters: True, it does have a user interface, but what's also nice about xWR (wow, I am a lazy abbreviator, aren't I?) is that you can pass two different parameters to make it automatically change. Passing "-random" as an argument will not bring up the GUI, and will just cycle to a new wallpaper. Passing "-silent" will make it ignore any windows that might pop up, if you're not connected to the internet for downloading a new comic.
So this means you can make shortcuts, and even add it to your startup to change the wallpaper.
There are only two limitations, and they are both planned and reasonable.
Can't change wallpaper settings: It usually works best to set the settings to "Center", and the surrounding color to either black or white. But xWR can't do that. Really not a big deal, just go into the Control Panel and change it yourself.
Doesn't automatically change: By that, I mean that with other wallpaper changers, you can set it to automatically change every __ minutes, but xWR is a one time deal. You have to click a button or run the -random parameter every time you want it to change. Really, not a problem, just don't expect it to do things like Wallpaper Master or Wallpaperer or any other wallpaper utility. It's name is xkcd Wallpaper Randomiser," and that's exactly what it does; no more, no less.
Probably the best part about xkcd WR is that it's tiny. It's only 28kb in size, but you do have to account for the image sizes, which can easily climb to several megabytes. Still, it's extremely small if you routinely clean your cache. It's also open source, written in C#.NET 2005, to those who are interested. I'm not entirely sure, but I believe it is portable. I'm just a simple man, but I don't think that it requires the .NET framework, but maybe I'm completely wrong. (It does happen. Quite often, actually.) So it might be portable, it might not.
xkcd Wallpaper Randomiser is written by a fan of the xckd comic strip, so it is available on his website.