For a number of years, I had always avoided thick knots like the Windsor knot. Perhaps it was due to a cautionary sentence by Alan Flusser - the de facto style reference for many men today - in one of his books or perhaps a source I have now forgotten. Whatever the original source, I had always assumed a small, neat knot was the preferred choice - namely, the four-in-hand knot.
That observation, however, is only conditionally true. The choice of which knot to use depends on the style of collar one is wearing and the relative length and width of the tie itself. One should tie a Windsor knot with a tall and/or wide collar style (e.g. English spread). As the photo of Prince Michael illustrates, it is entirely appropriate to use a wider knot for a higher collared shirt. As with many things in menswear, the issue is about balance.
Nonetheless, I still harbor a slight reluctance to tying very thick and wide knots. You need some extra gumption to pull that off (a la Robert Rufino).