I usually prefer stealth when I can silently pick enemies off one by one without the others noticing, hiding the bodies and picking a new target. That's how I played Dishonored, and it was awesome (despite the fact that the game kept calling me an asshole for doing so)
There are always exceptions, such as Thief. In Thief, the nonlethal options are more interesting, and the game clearly states that you are a thief, not a killer. Not only that, but the guards are all so colorful and fun (personality wise) that you don't want to kill them.
I guess I don't personally prefer lethal options over nonlethal options; just whatever will make the game the most fun.