When given the chance, I plug in an Ethernet port (I always carry an end-to-end Ethernet cable with my laptop). This is because it is faster, safer and a lot more stable than Internet over the air.
If you're on a decently setup wifi network, this isn't true for practical purposes. The connection from your house to your ISP is going to be effectively your bottleneck 99% of the time.
Nevertheless I still prefer a cabled connection. Wifi is a whole new attack vector because you have data packets floating through air. They might be encrypted, but that doesn't mean they can't be decrypted by untrusted parties.