I have and use both depending. I've even had a weird montbell down thing that was a puffy short sleeve shirt; it looked ridiculous. In terms of warmth:weight, sleeves and hoods will always provide disproportionately high efficiency for relatively little weight. There is a lot of vasculature along the underside of your bicep, elbow, and forearm.
If you need high warmth:weight there's no replacing a full on puffy, but if you just need to bump up the warmth of your current clothing set-up a vest is light and cheaper. There are a ton of makes and models that work...look for deals, they're out there. Outdoor Research, Marmot, Rab, Montbell, Arcteryx, Patagonia, the list is looooong. REI store brand and Eddie Bauer are consistently good values in down products in my opinion. Their stuff goes on sale all the time and it's not too bad to start with.