Best way to store data in tables
Definitely, in a Relational Data Management System, you SHOULD use relationships between your entities. 

A simple example query where you will be stuck by using the first option :


  Select all users and role name with roles 1 or 11


You will have to perform character to character searches and comparisons that are much less efficient than relational integer search and comparisons beacause the latter are indexed, and algorithms to perform them are much more sophisticated than pure string compare.

Unless you are really constrained (and even if so I would say...) use table relations, referential integrity constraints, indexes and so on, they will save your time !