Whether you use MDI, or decide to go with the Pump is a personal preference. Some people like one, while others like the other. Personally I prefer to use the pump. Since I've switched to it I've had a lot of success and find it a whole lot easier to manage and control my Diabetes.
Before I went on the pump I did MDI. My A1c was sitting above 10 and it seemed like no matter what I did it would never go down. My endo recommended that I go to a pump, and the next A1c reading after I switched to it was 7.9! I've been as low as 6.6, but am currently sitting at 7.2.
The pump allows you to have finer control over your dosing because it gives you rapid insulin in small amounts in place of a basal insulin which stays in your system for a much longer period of time.
It takes awhile to get used to wearing something that is attached to you, but its not as bad as one might think - especially if you plan on tucking it under clothing. I wear mine on my belt and forget its there most of the time.
Please feel free to ask me any questions you may have about pump therapy, and I'll be happy to answer them.