i don't think it's an either/or or "best". highly dependent on industry and application. if you're application is complex no amount of "good ux" can replace a good overview/tour (watch people, they will go in click around to get the lay of the land then be confused usually).

after that its determining how people to digest info, some like docs (me), others want to sit thru a video, others NEED a person to guide them in person, some like tooltips, checklists, etc.

i'm not saying you need to litter your app with this stuff, but i don't think there is some magical UX pattern that always works.