My totally biased opinion...
I think that a direct-connect game is easier on newbies. You just tell Dom3 the address of the server, and the port. After that it plays pretty much the same as a solo game.
Of course everything has its pros and cons. PBEM has more to get a handle on for some people. Getting the emails with your turns in it, figuring out where the game saved your turns, figuring out out how to setup the game on your end, figuring out how to attach your finished .2h file to an email back to the server. On the other hand, once you get a hang on creating games and deciding the games settings, LLama's server has that nice setup page to whip thru the setup and get a game started in less than a minute.
Both both types (by the way) you have to pre-create your god using the "Game Tools" then "Create a Pretender God" (and I recommend putting a password on it when you create it).
For a fast little direct-connect game up to 4 players I have some pre-created on my server. You could just choose one of the "blitz" games and declare it yours.
http://game.dom3minions.com/bin/blitz_chk.cgi
Or one of the vsAI which adds 4 computer players into the game.
http://game.dom3minions.com/bin/vsAI_chk.cgi
Other than that, if you are considering setting up a larger game then the choices are the same except that LLama's is automatic and on others its by request to the person who sets up games on the server. Everything on LLama's setup page can be part of any game request, and some beyond that (such as boosted AI's and some game settings not included).
Gandalf Parker