Been using Pi-hole for several years now and Pi-hole is absolutely a lifesaver. If you are not already using a DNS sinkhole, have a look at the project. But recently I updated my pfSense hardware and started wondering if things could be done a bit more simple - by adding my DNS sinkhole directly to the same hardware. Turns out you can; pfSense has a package called pfBlockerNG, that aims to basically do something like Pi-hole. It's not strictly for ad-blocking, but rather for general-purpose DNS filtering. This makes pgBlockerNG potentially a lot more powerful than Pi-hole, but it also means the learning curve is a bit steeper. So if all you're looking for is a DNS adblock, you are fine with Pi-hole.
First the obvious question: "But will it run on a Windows domain?" Yes. You can always upstream your (Windows) DNS to pfBlockerNG/Pi-hole and IP blocking is just firewall stuff no matter where clients are coming from.
All about the lists. You will be able to load the same lists on both systems, and of course, customize existing ones for whatever specific setup you need. As the trick is to not choose too much, the basic setup is good enough. Start with something manageable and add lists for specific issues, as they arise. Pi-hole works so flawlessly because the default blocklists are not extremely aggressive. By contrast, other lists certainly are and block domains you may need. So be prepared to occasionally whitelist or tweak these lists.
So it is not really all about the list, but more about how to manage the lists; making sure you are using the relevant ones, and keeping everything updated. This comes down to personal preferences. Personally, I like pfBlockerNG for the groups, handling exceptions (reports) and whitelisting domains, as I tend to modify stuff, but others would definitely prefer the Pi-hole approach.
A more relevant difference is PI blocking. A feature only pfBlockerNG offers. As pfSense will have a default block rule for inbound WAN traffic, IP blocking is not really relevant unless you have opened up to something from WAN. If you are running a service on the inside, the bonus of IP blocking and Geo-blocking is interesting.
Well .. both are doing the basic task of blocking out the crap and you can be up and running on a test VM real quick. The basic wizard comes with a lot of good stuff without much effort. After that, just point your browser to Google News, and see the magic in action.
If you like me have been running on an overloaded pfSense box or with lots of VPN connections, then Pi-hole would be a very good addition. On the other hand, an extra box is not always the obvious choice. Then adding to pfSense could be your choice. Not really either/or but the added geo-blocking is actually really sweet :)
Both projects are open source, please consider contributing to the projects if you can.