Either will work; they each have their pro’s and con’s.
Wubi installs Ubuntu from within Windows. This makes installation really easy, and if you decide you don’t like it, you can remove the entire OS just by uninstalling Wubi. However, you get limited space for the partition and some random things don’t work (sleep mode, I think). But other than that, you’re getting the full operating system with Wubi.
If you download Ubuntu straight from their site, you’ll have to burn a live CD. Once you’ve done this though, you can test out Ubuntu by running it straight off the live CD. This won’t make any changes to your PC or install anything. The live CD is the complete OS, but it runs a little slow. If you decide you like it, you can install it from there. If not, all you have to do is pop the CD out of the tray.