IMHO the real thing is better for games, emulation never feels quite "right", I can't really explain why though. Maybe because I'm aware of Windows or OS X running in the background?
For processor intensive applications, however, an emulated Amiga on modern hardware is always going to be better.
Personally, I tend to use E-UAE to see if I like games before transferring them to my A4000 (with WHDLoad, no floppies needed!)