Window registry is a hierarchical database that stores configuration settings and options on Microsoft Windows operating systems. It contains settings for low-level operating system components as well as the applications running on the platform: the kernel, device drivers, services, SAM, user interface and third party applications all make use of the Registry.

Excerpt from Wikipedia page

The registry was created as a central location to store configuration for COM components and all application settings in a standardised form.

Reading from and writing to the registry is much quicker than for a .ini file as it doesn't have to be parsed. It can also store structured data rather than just text as is the case for .ini files.

However, having a centralised database means that it's harder to backup and restore individual applications.

Windows Registry on Wikipedia