Hrm. Good question! I've run both during the course of the various updates and am currently running the .exe without issues (Windows 7 64-bit here) so I don't know if there's any particular merit to one or the other (full disclosure: I also run a minecraft java development environment, so I have jre6 and jre7 as well as jdk installed; I've never had an issue with it running the "wrong one" or such to date, either).