02s60 summed it up well.
In addition, I have heard that overuse of the "W" button can be harmful to your transmission. Not sure to what extent this is valid, but I personally refrain from using it. I have an 06 FWD S60, drove it in nasty NE Ohio snow/ice this winter, never used W, and never had any issues.
I guess if you're stopped on ice, with all the low-end torque of these cars, 3rd gear start could be useful. They're heavy enough to where you shouldn't really need it most of the time though.
2006 Titanium Grey S60 2.5T (Stock)
2002 Camaro 3.8 (Not stock)