Dedicated Whois software can be useful when you need repeated checks, bulk lookups or a more technical workflow than a simple website form.
Some tools allow saved queries, export, monitoring and integration with other domain research activities. Others are simple desktop interfaces for querying Whois servers.
Before using bulk checks, consider rate limits and the rules of each registry. Even when lookups are legitimate, excessive automated requests can be restricted.
For occasional checks, a web Whois is usually enough. For professional domain research, software or scripts can save time when used responsibly.