A 4 pin (not molex) over a 3 pin. Most motherboards have only 3 pin connectors for fans OTHER then the CPU fan which will be a 4 pin. The 4 pin is for PWM fan which means Pulse Width Modulation. In easy terms, if regulates the speed of the fan through digital pulses and is much more efficient and reliable than a 3 pin connected fan. Also the fan is controlled by the CPU rather then the MB itself. CPUs for quite some time now have had the PWM controller on the CPU for the use of these fans.
If your MB has temp settings ranges in the BIOS a PWM fan will adhere to these ranges much more then a 3 pin.
If you just speaking about case fans and to use the Molex or the 3 pin, I prefer the Molex to take the load off the MB and put it on the PSU.
TD