If I'm given the opportunity, I'd take sheet music, AND listen to the song. Especially for classical music. Why? Because it's nearly impossible to figure out the proper dynamics, or decipher the notes in an extremely fast/complex phrases by ear. Similarly, listening to the music helps with understanding the articulations, as well as how to play said complex rhythms.
If I have to choose just one, I'd take sheet music. I just find it easier to play when you have the rhythms, notes, and stylistic info right in front of you.
On the other hand, due to not wanting to blow ten bucks on one song copyright laws, some songs, mainly rock and jazz, I have to learn by ear. Oh well, playing in the school jazz band has its rewards.