$\let\d=\delta \let\l=\lambda \let\D=\Delta \let\pd=\partial
\def\rA{{\rm A}} \def\rB{{\rm B}} \def\PD#1#2{{\pd#1 \over \pd#2}}$
First I would stress an important difference between the "integral"
form of first principle
$$\D U = Q + W \tag1$$
and the so-called "differential" form
$$dU = \d Q + \d W.\tag2$$
This has nothing to do with the hated "$\d$" or "$\pd$".
The difference is that (1) is much less demanding as to its
applicability conditions. All what is required is that initial and
final states, say A and B, are well defined equilibrium states of your
system. Moreover, the external conditions must be such to allow you to
compute total heat and work, denoted by $Q$ and $W$. This may be
possible even if along transformation the system's state isn't
defined - the system may have no definite temperature, pressure, or
other thermodynamic variables.
On the contrary the "differential" form makes sense only if the transformation is reversible, i.e. passes through equilibrium states. Then you are allowed to think of heat and work as differential forms (@PhilipWood: why "so-called"? it's a perfectly well defined mathematical term). For instance you'll write
work as $-P\,dV$, which requires the system has a definite pressure, i.e. is in hydrostatic equilibrium. If a finite transformation is given as a curve in phase space (e.g. in $(V,P)$ plane) then that differential form can be integrated:
$$W = -\!\int_\rA^\rB\!\!P\,dV.\tag3$$
If you're not familiar with differential forms don't panic: an
equation like (3) is to be meant as a usual integral. Once the
curve in $(V,P)$ plane is known $P$ becomes a function of $V$:
$P=f(V)$ and you may write
$$W = -\!\int_{V_\rA}^{V_\rB}\!\!f(V)\,dV.$$
If states A and B are close to each other then it's approximately true
that
$$W = P_\rA\,\D V.$$
More exactly
$$W = P_\rA\,\D V + o(\D V)$$
where $o(\D V)$ means an infinitesimal of order higher than $\D V$.
We say a differential form $\l$ is an exact differential if a
function $F$ of state variables exists such that
$$\l = dF.$$
In plane $(V,P)$ we would have
$$\l = \PD FV\,dV + \PD FP\,dP.$$
Consider the case of $\l=-P\,dV$: could it be an exact differential?
If so, then we would have
$$W = \int_\rA^\rB\!\!dF = F(V_\rB,P_\rB) - F(V_\rA,P_\rA)$$
i.e. $W$ would'n't depend on the transformation but only on initial
and final states. We experimentally know this isn't true. Moreover a
mathematical proof exists that $-P\,dV$ isn't an exact differential.
Note that only in that case you'd be allowed to write
$$W = \D F$$
i.e. work would be a variation of something (a state function). But
this isn't generally true, so you can't write $\D W$. This also
explains why it's much much better never to use d's or $\d$'s or
$\pd$'s or any other camouflage of a supposed "variation" (that
doesn't exist) or "differential" (that it isn't).
Don't forget: whatever may be the bad usage frequently made in physics,
a differential isn't something small or worse infinitesimal. That term
has a precise mathematical meaning and we ought to learn to use it the
right way.