Formatting is the “.NET” way of doing it. Certain refactoring tools (Refactor! for one) will even propose to refactor the concat-style code to use the formatting style.
Formatting is easier to optimize for the compiler (although the second will probably be refactored to use the 'Concat' method which is fast).
Formatting is usually clearer to read (especially with “fancy” formatting).
Formatting means implicit calls to '.ToString' on all variables, which is good for readability.
According to “Effective C#”, the .NET 'WriteLine' and 'Format' implementations are messed up, they autobox all value types (which is bad). “Effective C#” advises to perform '.ToString' calls explicitly, which IMHO is bogus (see Jeff's posting)
At the moment, formatting type hints are not checked by the compiler, resulting in runtime errors. However, this could be amended in future versions.