<p>What is the best option for a windows application that uses SQL server authentication? Should I create a single SQL account and manage the users inside the application (using a users table). Or should I create a SQL server account for each user. What is your experience? Thank you!</p>

What about having SQL accounts based on the level of permissions needed for the task. For example you could have a read only account just used for reporting if your system has a lot of reporting. You would also need an account what has write access for people to change their passwords and other user admin tasks.
If you have situations where certain users are only going to have access to certain data I would have separate accounts for that data. The problem with using 1 account is you are saying that there is no SQL injection anywhere in your application. That is something everyone would strive for but sometimes perfect security is not possible, hence the multi-pronged approach.