If the domain already has several advantages such as numerous backlinks, high PR or old domain then http//site.com/example is better.
The main domain should be best as it may already been running online for sometime and may have some links, also it is alot easier to focus on a homepage to get directory links as at times they do not let you submit internal pages. Though it is not impossible to get an internal page to rank well, just create good content and do some promotion and it will rank well also.