Installing from your distro's package manager is usually more convenient, but you're at their whim as to what version that you are going to run. (Hint: It's an older version.)
Installing from source is more effort, but you get newer code (and the ability to make a decision on what version you are running). Additionally, you can compile in additional options and features that may not be included in the package version. Finally, compiling on your target machine allows the compiler to optimize for the processor features available on that system, where distro packages are compiled to a lowest-common denominator, so they may not perform as well.
If you use the nginx yum repo (details), you will get the convenience of using the package manager, but the version is much more likely to be kept up-to-date. You still will not get the processor-optimizations that compiling it yourself would yield, however.