Sometimes I'll start with a rhythm, especially when I want to write a song in an unusual time signature, like 5/4, 6/8 or something.
Often, I'll randomly come up with a melody in my head and want to put it into song, so then I'll start with melody.
But generally, if I have a feel that I'm going for, and I really want to hunker down and get something done, I'll start with a chord progression and work from there. I couldn't tell you which is better, except that since I'm not the best composer, starting with a chord progression forces me to keep things interesting.