Powering a custom Arduino compatible - 5V regulator or no 5V regulator?
You should go with the 5-V external supply and put a capacitor between 5 V and GND near the ATmega to reduce noise in the power. With the 9-V supply, you still need to have a wall wart but you also have an extra component on the board.

Also, don't use a linear regulator if you do decide to use 9 V. Since you're going from 9 V to 5 V, you're dissipating (9-5)/9 = 44% of the input power as heat.