It depends on what you want to accomplish. It also depends on your genre. For example, it's extremely rare for a first-time romance author (and, I believe, although I have less experience there, a first-time SF/F author) to be published initially in hardcover. Conversely (at least as I understand it, b/c, again, it's outside my genre), it's rare for a literary author to be published initially in paperback (of the standard size; trade size might be a different story, not sure).
Also, it's not really an either-or situation. Most of the major publishers also release their authors' books (at least the major ones) in assorted formats, from hardcover to audio to e-book and paperback (although some formats are delayed to encourage people to spend the extra money on the hardcover), is if you go through a major publisher, you might well end up being paper-published, e-published, cd-published (audio) and who knows what other format, as technology changes.
JD, epublished only, as of now