Usually you want to play them from the hdd (load times not withstanding). Mainly, because of the dvd-rom's they put in Xboxes, if you don't get one with the Samsung 605 drive, then finding recordable media (cd or dvd) that works can be a pain in the ass. With the Samsung 605 drive, the only media that isn't supported is DVD+R (and maybe +RW too... dunno, haven't tried it).
Unsupported doesn't mean it will never work... just means you gotta try different brands of that media to find one that works. Personally, I just switched to DVD-R, to avoid the hassle ... since all 3 different brands of +R that I've used don't seem to work.
You could put a PC dvd-rom in there, pretty much any brand/model will work, but if you can snag a Samsung 616T or 616F drive, and flash the firmware to the 605 spec, you can use all media, as well as play original games. Other PC drives, you can't play/read original game discs, and you'd have to swap the original xbox dvd-rom back in for them. Depending on how often you play original discs, would ultimately determine if that's too much of a pain in the ass. I got lucky, and have the Samsung 605 drive, but I might try to snag a 616, so I can have a 16x drive instead of the 4x stock one.
And of course, to get it to work with the power/eject button some modification to the drive is required, some soldering. However, if you don't care about leaving the case closed, you could just set a PC dvd on top of the xbox dvd, leave the yellow cable plugged into the xbox drive, plug the ide cable into the pc drive and get a power Y splitter, so you can tap off the power cable going to the hdd without having to make any further modifications. The downside: no original discs, and playing backups from disc may or may not work (and might require the original disc anyway... essentially negating the purpose of having backups)
I went with the Xecutor 2.6 CE with the solderless adapter, and used a 160gig drive that I thought had crashed, so was sitting out of my computer about to be RMA'd. Installed it in about a minute, but while I was at the xbox, my friend was flashing the bios over the network from his computer... used the same bios he used for his Xenium chip (I didn't think to make sure he was going to use an Xecutor 2.x bios), and it fucked up the flash (overwrote the flash bios on it as well), so I had to order a programmer for it, which took a couple more days to arrive.
Technically, I could've had the chip installed, flashed, and the system up and running in less than 30 minutes, just waiting for games, movies, music, whatever. Though I have been thinking about doing this for the past 2 years at least, and have constantly been keeping up on new developments in "the scene", so once the programmer arrived, I had my system up and running in 45 minutes (took 15 minutes to flash with the programmer... goddamn slow ass parallel port
). There just was no real trial and error in my setup (other than the inital bad flash).
I like having the external switch, though I don't use Live so it really doesn't matter to me. I'd rather use Xbconnect, or Xlink Kai, if I REALLY gotta do some online gaming (and Xlink Kai works with Gamecube and PS2 as well).