Glad that helped!
Best solution I would say varies by scene. If you want more complex lighting with lots of variety from shadows from trees or buildings that are present in an HDRI, then HDRI is better. If you are rendering an interior where that doesn't really matter, since it will just be light from specific windows, Sun and Sky could be better (with a Background Override with ToneMapControl to provide something to see out the windows :) ). If you have an exterior where the trees, mountains etc. are actually modeled and in the scene, the Corona Sky could be better (since those extra details are really in the scene and don't need to be "faked" from the HDRI). And so on :)
As a reminder you can also use the HDRI as a reflection override too, to get detailed reflections when just using Sun and Sky for lighting. Sky should also get much more flexible and interesting in Corona 7 with some new features too!