There really isn't any reason that I can think of for the end user to use one method over the other as long as both services are available. They will both have very similar delivery times. SMS over GSM was first, and I beleive that SMS over GPRS was added later to move message traffic off of the voice network. Too bad that providers couldn't figure out a way to make it work, or I guess maybe they just didn't care too much.
T-Mobile 9700 with a working Alt key :P