Depends on your budget, skill set and product availability...
For raw performance, fibre optics performs better (we are deploying 10Gb ethernet via fibre at work for all workstations), but it's more expensive to setup. (switches, NICs, etc are more expensive). 40Gb and 100Gb ethernet products are available.
Copper is cheapr, 1Gb Ethernet products are very cheap to acquire/install, etc. Also copper is easier to work with. 10Gb and 40Gb copper based ethernet products do exist, but are relative rare and expensive. (40Gb copper is limited to 30m total cable length as well). There are 100Gb copper based ethernet products defined (and available) but from experience, pretty much most people who are deploying 100Gb ethernet products are using fibre.