Is more ECDHE or RSA currently recommended? Lately I have seen that many websites warn us of changing RSA for ECDH, and that the latter is much better if we use its "ephemeral" form or better known as ECDHE.

So is ECDHE recommended to use more over other algorithms today?
It is not fully clear what you are talking about - "many websites warn us" is a bit too short on detail. But usually this topic comes up when talking about TLS (as used in HTTPS) and here comparing RSA and ECDHE  means to compare the different methods of key exchange offered by TLS. Note that key exchange is not encryption  - it is instead the method to determine the common key which is later used for encryption.

And yes, ECDHE is clearly the preferred key exchange since it provides forward secrecy which can greatly limit the impact of a successful attack. With forward secrecy an attacker cannot decrypt previously sniffed traffic while without forward secrecy this might be possible. For more details see What guarantees does perfect forward secrecy make with respect to compromise of a private key? and Wikipedia:Forward secrecy.