I say learn what you can in all areas, because it's a good idea to have a broad range of knowledge everywhere. Yes, if you need .NET because of your employer, then you'll need to know it. I think Win32 API is also good. Win32 API appears to take time to learn, but I may try and learn it so I have the skill for if/when I do need it.
Thanks for the answers. I don't need it for employment purposes. I simply want to write programs for Windows, and to do so in the most efficient way possible. From all I can gather, it seems C/C++ Win32 API is the best way, especially since it's lower level and certainly less overhead than managed code.