Terry...
Speaking just for myself, I do it both ways, but most often prefer using MP3s on break for several reasons.

Between sets I will often load a different set of user styles into memory and set up the next registration I plan to use or tweak an existing registration that I just played and didn't sound quite right. You can't do that while a midi is playing.

With the MP3 player you can make playlists of songs, on the fly, in the order you want them to play. I tried doing that in advance at home with midi, but most always find there is something in the midi list I wish I had or had not included.

And, like Scott, I use some cover material that I have not been able to find in midi.

But, I also use some real easy listening midi during breaks at low key parties that work just great.
Eddie