This is a classic question that I get asked all the time. Which option should I choose? Consular processing (CP) or adjustment of status (AOS). For those of you unfamiliar with the terms, Consular Processing is the decision on your green card taken at a US consulate in your home country. You make an appointment, complete other formalities, and then undergo an interview at the American embassy. If you are approved, you travel to the United States and once some more paperwork is completed at the airport, you are admitted as a permanent resident.
In the AOS process, you are already lawfully admitted to the United States at the time of applying for a green card. By virtue of that, you can simply adjust your status to a permanent resident without leaving the country. People who entered the country illegally are not allowed this privilege and must return to their native countries for consular processing, though, with the availability of USCIS Form I-601A the stay overseas can be considerably shortened.
So which one should you choose? Well, if you have the option to pick, decide what is more important to you and then analyze the circumstances for your country. Most likely, time is a major consideration for you and if you come from a country from which the number of immigrants is small, you are better off choosing CP since getting an appointment is easy. In the US, you are in the same line as everyone else. On the other hand, if you are comfortably in the US and do not mind the wait, then AOS is the way to go.