First time...Online...

[Maerlande]

Personally, I prefer PBEM for large games that take a long time. It's especially helpful if you have iffy internet connections. Direct connect has one trouble. If your internet goes down you can't work on your turn. For lot's of players, that's not an issue but I live in a small town with pretty crappy phone lines and it's a big deal for me.

Doing a huge late game turn and having internet drop halfway on direct connect is not much fun.