I like both.
Playing a map with pistol start makes me think of what the author intented when placing all the enemies and resources, since most of the wads I've ever played were designed following that rule. It also helps to see the map as a whole, every thing placed is part of the essence of that exact map.
Continuous play is also good specially with large wads/mega wads, being more or less challenging depending on how you completed the last map (weapons, health, armor...), it helps me seeing the wad as a continuous progression of worlds/levels.