UHF is better, but more expensive.
VHF can be good enough, but sometimes can be affected by external signals like radio stations or taxi comms. Also, you will usually lose the signal once it loses a direct line of sight. Like if you go behind a pillar.
Cables are much less of a hassle as compared to going wireless. Unless you are a very visual guitarist and intend to run all over stage or go mingle with the crowd, there really isn't much point in wireless. Even Steve Vai uses cables almost all the time.
