You generally want to use system link for local testing (because it does not require any special subscriptions on the Windows side), but then switch to player match when your game is finished and people want to play it over the Internet.
Many games actually include menu options for both, so players can choose what type of networking they want to use.
http://blogs.msdn.com/shawnhar/archive/2007/11/21/system-link-networking-in-xna-game-studio-2-0.aspx
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