Both will work for you. Some people say that OleDB is a little faster, but I have not seen much difference. OleDB is newer, more powerful, and more complex. In any case, you could use a combination of both. For simple queries, you will not see a diifference and you will end up with a VFP cursor in any case.
I use OleDB with ASP.NET as it is more optimized in the NET Framework. In VFP I tend to use ODBC as it is easier to use. The important issue is to know both so you are prepared to handle any case. Your choice.