When do you use StringBuilder.AppendLine/string.Format vs. StringBuilder.AppendFormat?

Question

A recent question came up about using String.Format(). Part of my answer included a suggestion to use StringBuilder.AppendLine(string.Format(...)). Jon Skeet suggested this was

Answer 1

I prefer this structure:

sbuilder.AppendFormat("{0} line\n", "First");

Though admittedly there is something to be said for separating out the line breaks.