At a high level the guidance is to use Prism if you're developing a WPF application, and to use SCSF if you're developing a WinForms application. Both of these are built on top of Unity (or its predecessor, ObjectBuilder) which is a Dependency Injection framework. If you just need DI support, then you can use Unity directly, but if you're building a composite client application then use Prism or SCSF depending on your UI requirements.
Thanks,
David.