In major time, it is better without border.. so, without border is better but, like other said "depend on your website design".
The answer to this question, maddening as it may sound, really depends on the layout and design of your site. I've found that when I've incorporated some AdSense formats and layout tips into my site based on the advice of others, even people whose judgment I trust very much, that really has no bearing on whether it will work well for my site. Every site (fortunately or unfortunately, depending on your perspective) is an individual case, and it really takes testing different formats, layouts and colors over time to see which ones work best for you and your site.