GSM is going to be the most basic form of service you can get. Even if data isn't available, there's a good chance you'll at least be able to get GSM. If you set it for GPRS only, then you're out of luck if you're out of data range.
There's not much of an advantage to sending one way or the other, other than the above. I suppose GPRS would be faster, but how slow is a text to go through, really? Mine sends through GSM and seems to be plenty fast enough for me.
Just my $0.02.