It is better to overclock in the BIOS as you have more control over system settings, however if you over do the overclocking in the BIOS you may have to clear the CMOS memory to undo your changes. It is easier and safer to overclock using the software method but as you have less control you won’t be able to overclock as much and your overclock may be less stable.
Like has been mentioned, BIOS is normally best but GUI solutions were implemented for the same reason they are always implemented: The novice or the unsure or the uninitiated can feel more comfortable doing it.
I don't trust GUI approaches to make the changes properly or keep them after reboot, I was burned by MSI's solution back in the s939 days and have never trusted them since. </my $.02>