There are advantages to using Redsn0w/PwnageTool, because doing so will guarantee your future ability to jailbreak any future version of iOS. But unless you are able to downgrade your phone to iOS 3.1.2 or earlier you have no option other than jailbreakme.com. PwnageTool only allows you to upgrade to a jailbroken iOS 4.0 if your phone has already been "pwned" (had its bootloader modified to patch out the signature check), and the exploit used to do that was fixed in iOS 3.1.3.
If you have your 3.1.2 SHSH on file, then I recommend downgrading and using PwnageTool.