Well I think it really depends on your character. Clearly a good character would not blow up Megaton. And a evil character would destroy a two full of people.
So that, it seem to me, should be the criteria.
Other than than if you decide to blow Megaton up, you might want to do some or all the side quests there first. And get the Bobblehead.
From a practical standpoint, it's probably better to not blow it up. It's a centrally located town and base of operations. And there you can do trading there.
The main advantage of blowing it up (aside from being evil) is that you get to see a really nice nuclear blast from Tenpenny Towers. If you blow up Megaton, I recommend blowing it up at night. It looks great!