I've had both.
Started off with a Dastek plug which simply plugs into the loom before the ECU. Gave a good increase in power and I was happy with it for the most part. From memory, the reason that I even thought about changing it was I started to notice a slight hesitation in the throttle response. Not enough to really worry about, but I get obsessive about such things . . . . :roll:
I now have had my ECU chipped by TD5Alive and I'm very happy with it. I went and spent the best part of a day with Gary and we did numerous road tests to get the car responding how I wanted it (I've gone for a bit more low range power rather than top end speed). I also know that if I want something tweaked, that it will be relatively simple to do.
I've also got a little box of tricks to increase the turbo boost as well . . . . . . .
If you want quick, easy and transferrable then go for a plug in. If you want a bit more control over what your engine is doing then get a proper chip remap.