I have heated gloves. The reason I chose gloves over grips is because the grips only warm the inside of your hand, which is not the part that really needs it. The gloves heat the back of your hand and each finger. However, the gloves are definately more expensive and you'll have to run a wiring harness through your jacket if you get gloves only (if you get a jacket, the gloves plug into the sleeves of the jacket). I have both the gloves and the jacket liner from Gerbing and have been extremely happy with them. I do recommend that you get an adjustable controller, as they get hot and the controller allows you to dial-a-warmth.
All that said, I know several people who have heated grips and they are happy with the grips, so I think it comes down to personal preference.