I've got, use and like them both. But my Windmill was much more expensive than my helios. Dunno why.
The Windmill is armoured like a tank and it is very cool looking, no question. In terms of features, I don't think there's a big difference between the two and, despite the armour, I don't think the Brunton is any less robust, although people whom i believe tell me about throwing their Windmills against the wall etc without damage.
Over a few years of use in extreme conditions, neither one has failed me, except I must say the Windmill inexplicably stopped working for about a month and then started up again. Maybe it was fouled. But the Brunton never waivered.
I guess I would choose the Brunton because it's lighter, less expensive and didn't mysteriously stop working, ever.
But then again, I have another slimmer Windmill in brushed silver colour that I use as my dress lighter that I could probably use in the field, it's that reliable. I wouldn't, though. It doesn't have a clip to secure it shut and also doesn't have a fuel window.
They're all great lighters.