It depends on your preference and budget. Below are some pros and cons of each valve:
Thermostatic mixing valve
Pros: A maximum output temperature is set on the valve, so if you want your hot shower to be exactly 100 degrees every time, it has that temperature memory and will not go any higher than 100 degrees. Water conservation is easy because you can change the flow volume without affecting the temperature. This also means there is increase energy-efficiency. Your water heater can be set to 140 degrees, but you can still have absolute control over your shower.
Cons: They are more expensive and can only protect one fixture
Pressure-balance valve:
Pros: They can have a lower initial cost, they provide scald protection, and they provide moderate comfort.
Cons: They have no temperature memory, you have to fiddle with knobs to achieve your desired temperature, and they have no additional scald protection.