Which would you rather have for your online gaming?

Dedicated servers.

(Assuming both options are about putting the control of the server in the hands of one or some players, rather than publisher-controlled servers which - to the players - are presented as a peer-to-peer function.)

I like having the option for dedicated servers, though on-client servers have their place as well. Depends on the game.

Case: Neverwinter Nights
A dedicated server can run a persistent-world module that the players can treat as a "mini-MMO", connect to it and playing at their leisure.

Case: Baldur's Gate, Icewind Dale
Since the games are very much story-driven, having the story progress without your character being present can mess stuff up bad.

Case: Unreal Tournament
There are no character levels, no story, the world doesn't change. Each game is a randomly chosen map (within set restrictions, such as game type) and the player chooses a new character model each time they connect. A dedicated server can be set up to ease and quicken future games' set-up time.