The answer to that question is not as easy, or simple, as you might think. Several questions need to be answered before narrowing your choice:
1) How easily do your hands get cold? Do you have good or bad circulation in your extremities?
2) In what conditions will you be using the gloves or mittens?
3) What activities will you be doing? How much dexterity do you need?
First things first, let's stipulate to a few points:
OK, so back to the original questions.
1) How easily do your hands get cold - do you have good or bad circulation? If your hands get cold easily you'll either need to go with thicker gloves or even better, mittens. But do not forget, the most important variable in whether your hands stay warm is if they stay dry. And when I say dry, I mean free of moisture from the outside AND inside (sweat). Most cold hands come from clammy hands (internal moisture). Dry mittens will keep your hands warm with less insulation. Mittens with thick insulation might just make your hands colder than mittens with less insulation if they cause the dreaded hand sweats, so always be conscious of balancing the design of the glove or mitten with the outside environment where it will be used. Learn more about keeping your hands warm.
2) In what conditions will you be using the gloves or mittens? If you're choosing whether to wear a glove or mitten based on the current day's weather, then mittens will be the choice for very cold conditions and gloves will be the choice for warmer conditions. But if you're trying to decide between buying just one pair of gloves or mittens, then mittens might just be the better option as they tend to have a wider temperature versatility on the cold end. Gloves have a wider temperature versatility on the warmer end, but I think it's better to have hands that are too warm on a warm day than having cold hands on a cold day.
3) What activities will you be doing? How much dexterity do you need? If your're doing activities that require optimum dexterity and grip, then gloves are probably your best option. But if dexterity is not that important, then mittens offer more temperature versatility.
Personally, I use both. Mittens when it's cold, and gloves when it's warm.