Apply through the hiring company's website.
This typically gets you treated as a more serious applicant than someone who applies through a third-party job site. Users of third-party job sites find it very easy to submit large numbers of applications at once. Employers see that the vast majority of applicants coming through these sites have not done sufficient research, and often are questionable fits for the advertised positions.
By contrast, applicants who take the extra effort to apply through the company's website are more likely to be appropriate candidates. In the least, they demonstate extra effort and initiative. Both HR departments and hiring managers, across a variety of companies and industries, report that applicants coming through this route are far less likely to be unqualified and unfocused that those who come through third-party sites.
By all means, use third-party sites to find jobs that suit your preferences. However, take the extra effort to apply through the hiring companies' own sites.
Also note that a growing number of employers are dramatically scaling back or even eliminating their use of mass-market online job boards such as Monster and CareerBuilder, preferring search methods such as employee referrals or the use of third-party career development sites, such as LinkedIn, that cater to more select groups of professionals. The main reason is that these sites tend to generate a flood of unqualified applications, wasting the time of human resources staff who must sort through the pile. The resulting delays in responding to qualified job candidates can discourage them or drive them away. Additionally, PNC Financial is an example of a firm that sees tardy responses to qualified job applicants as creating negative word-of-mouth. This can alienate current customers or potential clients, including the job applicants themselves. See "Recruiters Rethink Online Playbook," The Wall Street Journal, 1/18/2011.
That said, always tailor your application to the company and the position. Demonstrate, as specifically as possible, how you can help that company and that hiring manager with their particular needs. Do not just recite your credentials. By applying through the hiring company's website, you also should be reducing the odds that you send a generic application, resume and/or cover letter to every prospective employer. A generic submission is bound to be recognized as such, and rejected immediately.
