Disclosure: I work with Citrix a lot, so I am biased
Citrix XenApp won't help improve performance of the applications as such - i.e., it won't increase the speed at which Office loads or whatever, that's not its job. However, it will almostly certainly improve the user experience overall by ensuring a consistent connection, improving mouse and keyboard response etc. In other words, what happens on the server stays the same - it's the ICA / HDX protocol which gives you the improvements.
I'll be honest and say I've not worked much with raw Terminal Services in 2008, and I know it's much improved from before, but I'd always edge towards Citrix where budgets allows.
Just remember that it does sit straight on top of Terminal Services, so it's always going to cost you extra.
Citrix really starts to shine over low bandwidth connections in particular (After all, that's its heritage), and they also have products such as Branch Repeater and Netscaler which are specifically designed for WAN acceleration.
You can get many Citrix products on evaluation if you sign up to Citrix.com, so I'd recommend you start there. While there's a lot of tweaking you can do with Citrix, the base install is reasonably straight forward if you follow the instructions.
If you could provide some more details on what you're going to be using it for, I'll happily give you my opinion.