The only reason for using the wget version
wget -O /dev/null -q http://www.YOURDOMAIN.com/PATH_TO_MAGENTO/cron.php
is when you're on a hosting service that doesn't allow for setting up cron jobs. You can then set up a process on another system to poll cron.php periodically to trigger Magento's cron job system.
It's useful also for testing if the cron jobs are functional, but inelegant and usually if required to actually run cron jobs, an indicator that your hosting service probably is not really set up to run Magento.
If you have cron access (which you do) the php execution local to the server is best for the reasons @sander points out.
Note: Newer versions (1.9.2.x) lock down the access to prevent just any old internet troll from hammering your cron script. The following section in your .htaccess allows you to set up the ability to remotely trigger it via an authenticated user.
###########################################
## Deny access to cron.php
<Files cron.php>
############################################
## uncomment next lines to enable cron access with base HTTP authorization
## http://httpd.apache.org/docs/2.2/howto/auth.html
##
## Warning: .htpasswd file should be placed somewhere not accessible from the web.
## This is so that folks cannot download the password file.
## For example, if your documents are served out of /usr/local/apache/htdocs
## you might want to put the password file(s) in /usr/local/apache/.
#AuthName "Cron auth"
#AuthUserFile ../.htpasswd
#AuthType basic
#Require valid-user
############################################
Order allow,deny
Deny from all
</Files>