The developer should choose to use Data Loader instead of Data Import Wizard because Data Import Wizard cannot import more than 250 records at a time. Data Loader is a client application that can import up to five million records at a time, using either the user interface or the command line. Data Loader can also perform more complex operations, such as upsert, delete, and export. Data Import Wizard is a web-based tool that can import up to 50,000 records per file, but only 250 records per batch. Data Import Wizard can also perform insert, update, and upsert operations, but not delete or export. Data Loader does not run from the developer's browser, but rather from the developer's machine. Data Import Wizard does support Opportunities, as well as other standard and custom objects. Data Loader does not automatically relate Opportunities to Accounts, but rather requires the developer to map the fields accordingly. References:
* Salesforce Help: Data Import Wizard vs. Data Loader, page 1
* Salesforce Help: Data Loader Overview, page 1
* Trailhead: Platform Developer I Certification Study Guide: Data Modeling, unit 2