Is it better to be sedated or have local anesthesia when you get your wisdom teeth pulled?

Personal preference. For most people, being sedated for wisdom tooth removal is the best way to get the teeth out due to not knowing what is going on during the procedure. Obviously, a lot of patients do not want to be sedated and do just fine. Personal preference rules here.
Wisdom Teeth. Sedation of some form will make wisdom tooth removal more pleasant. Wisdom teeth can be removed with excellent local anesthesia. However, such surgical maneuvers as bone removal and dividing of wisdom teeth for removal are much better tolerated with sedation. Even with excellent local anesthesia, many patients are disturbed by the noise and vibration associated with the surgical drill.
Anesthesia. Sedation alone may not counteract pain produced during extraction of wisdom teeth but it can be used in conjunction with local anesthesia.
There is. No difference medically speaking -- it's more for your comfort. If economics is not an issue, sedation is a more comfortable experience.
Depends . You will most likely still have local anesthesia administered even if you are sedated. Having wisdom surgery is not very high on many people's lists of favorite things to do. Undergoing the surgery with sedation will usually provide you with a more pleasant experience for an otherwise dreaded surgery. In addition, your surgery will likely go faster and smoother when you are sedated.
Talk to Dentist. Most teeth extractions can be done under local anesthesia with a cooperative patient. If there are especially impacted teeth then some sedation might be indicated. I don't even remember the procedure after a little dose of valium. If you have concerns please contact your dentist and discuss these fears with him. Good luck.