When I run a VM in workstation, I access it from the console. It gives me a better "local" experience than accessing it through RDP.
For our servers running on ESX, I generally hit them with RDP. But mostly because I don't need the local experience with them. Loading the VI client, and then opening the console there, rather than running straight up RDP takes a lot longer to actually get in and running with. However, our LAN is robust enough that the console view (once the VMTools are installed), does give a better user experience. Also if I'm working with several server VMs at once, then I'll probably use the console view, since I've generally got the VI Client running already.
If I'm running over VPN, then I'll avoid the VI Console as much as possible, and try to stick with RDP. It has better compression, selectable visual features, etc. When you're bandwidth limited, then it offers the better experience.