Is there a difference/advantage/option to choose in adwords to make either the sponsored links appear in the side of google search results or up the top above the first result?
you don't get the option to choose. Google rewards you for good quality score and bidding to get the highlighted spots. You can read more here https://adwords.google.com/support/bin/topic.py?topic=12271
Sponsored links appear only on the right hand side. Sometimes, if they are VERY relevant to the search query and have high quality score, they might be displayed at the top of organic search results.