Leads are typically easier to get, but pay a lot less compared to most CPA offers out there. The more targeted niche you get with your lead gen offers, the more they generally pay out, and the better you'll do, especially with PPC.
CPA's are good too, don't get me wrong. Even with niche products, you can usually dominate on the engines organically and with PPC, but there's that whole "making the sale" bit that can suck. If you are looking at CPA offers, just make sure the cookie is a 365 day one, or the minimum 90 days or so. I never trust the 30 day ones, especially when the price they need to pay is over $100.
If you're just starting out, go with leads. They are just easier and will help you get off on the right foot. But if you can find some CPA offers that are fairly in a not super competitive niche, then why not run them both and see which one you feel better doing. Also, you may want to consider making a splash/landing page for both, to pre-sell them and also get an aweber.com account and make a newsletter, so that you can at least get email addresses even if they don't buy anything.