The answer to this will vary from one to another. MP3s are great because they're polished and ready to go...all you need is a CD / MP3 player and a PA system or amp to play them.
On the other hand, with MIDI, you have much more control. You can add/remove/mute parts. MIDI can control many devices, including keyboards, drum machines, harmonizers and even light shows. The downside is that you'll need some more equipment for the sound.
Sometimes CDs get scratches, and the last thing you want during a life performance is having the music start to skip.
This problem isn't always avoided with MIDI though. There can be a time when your computer is using up resources and it causes the MIDI playback to hiccup...another potentially embarassing situation. So make sure if you're using a computer to play back the MIDI you have plenty free resources and memory.
Some may feel that using mp3s is cheating...may as well be a DJ. I guess using MIDI can be cheating too since you can leave out a lot of musicians, but at least the playback of a MIDI file is always an actual LIVE performance, as opposed to a recorded mp3.
So the choice is yours.