Generally if there is an option to download an browser version of a game, I do. I think the best example and the clearest that I can remember if of Friday Night Funkin. It's probably for the better anyway, since that game got so popular that Newgrounds became near unusable during it's week 7 update.
My own personal opinion is that providing both options are good, but that I think most games will only have a downloadable version because it's too big to play in browser.