@Amanda: I've played with both wound and plain steel E strings.  A wound E string sounds more similar to the wound A, D, and G, and is a little mellower sounding than plain steel E strings I've used. 

Personally, I like it.  But it probably doesn't have as much "sting" on the high end as some folks would be used to on the E string of a violin, since most people seem to use either plain or plated steel for the E. 

Volume is good (if anything, the wound E seems slightly louder than an unwound one to me), the one I'm using has held up well, and I personally don't think it has gone "dead" as much as plain/unwound E strings seem to within a month or two.  But it does sound slightly mellower and has a timbre more like the other three strings.  Some folks would like that, some wouldn't.  I kind of like it on the acoustic.  It probably wouldn't be what a symphony soloist would want, since it might not cut through the sound of other instruments as well, but that is a guess on my part.

Not to say that I dislike plain steel either, though.  My electric is currently strung with A plain A as well as the E, and I like how that works with that instrument.

The actual difference is kind of hard to describe, but if you can think of the wound strings as having sort of an "alto" timbre or quality to their sound and unwound strings as being maybe a bit more "soprano" timbre, that's how I hear it.

But a lot is going to depend on the individual instrument and player with anything like this.  I don't think either option is actually a bad choice and they can both give pretty even volume and one isn't harder to play than the other that I have noticed. 

I think it comes down to a matter of personal taste.