EXE or MSI

MSI is the native windows installer format.  EXE usually just wraps one or more MSI files and other files if needed.

MSI gives you known commands to use for silent installs and the like, can be edited easily with orca or similar programs, and generally can always be counted on to be able to uninstall as well whereas EXE can be picky depending on who made it and with what packaging program.

If given the choice, choose MSI