I don't do either, but I know brewers in our club who do both, and both methods can make great beer. I think it's really a matter of preference. HERMS is probably a little less prone to scorching or caramelization during the mash, but I think with good control there's probably little difference.
I'm assuming you're already brewing all-grain and are familiar with mashing techniques. If that's not the case, I'd suggest starting simple with infusion step mashing or direct-fired step mashing to get familiar with those processes and how they affect wort production.