For a one-time heritable change that will yield a model organism line you can use for years, go with a knockout.
If you are targeting an embryonic lethal gene, you will probably need to use a knockdown. You can either use a reduced dose of the knockdown agent, leading to partial loss of target gene expression, or use a knockdown agent that can be dosed or activated after the period of embryonic lethality.
For a dose-response study of partial to complete loss of the target gene expression, you would need a knockdown.
Knockouts can cause changes in expression of non-target genes as an organism adapts to the loss of the targeted gene. These might include physiological and epigenetic changes as well as, over generations, selection for compensatory mutation. Knockdowns cause fairly rapid changes, on a shorter time scale than knockouts.
Here is some very recent information about knockdowns versus knockouts. Genetic compensation, as adjustments in gene expression to ease the impact of a deleterious mutation, are observed by this group in knockout animals but not knockdown animals.