I'd do neither.
If clicking the checkbox is going to start some action, I'd attach an ItemListener, then just look at the selection state in the ItemEvent.
However, checkboxes don't normally invoke actions, they manage state. So a better approach is to examine all of your checkboxes in response to whatever does kick off the action.
Edit: some commentary about the larger issues that the OP raised.
First, it's important to realize that large parts of Swing represent implementation convenience rather than a coherent behavior model. JCheckBox and JButton have nothing in common other than the fact that clicking within their space is meaningful. However, they both inherit from AbstractButton, which provides implementation details such as the button's label. It also assumes that buttons are "pressed", and that pressing a button will initiate some meaningful behavior (the action). In the case of JCheckbox, however, the button press is not important, the change in state is. That state change is signaled to the ItemListener -- which is also defined on AbstractButton even though state changes are meaningless to other button types (the JavaDoc even says "checkbox").
One of the things that Swing did get right -- if hard to use -- is the idea of that an Action is separate from the control initiating that action. An Action object can be invoked from multiple controls: a menu item, a pushbutton on a dialog, a keystroke, whatever. More important from a design perspective is that it takes you away from the idea of a generic "listener" that tries to figure out what needs to happen. I've seen apps where a single listener receives input from the entire menu system, for example, and then runs through a big if/else chain to figure out which menu item was pressed. Using Actions means you have more classes, but in the long run gives you a more maintainable app.
Finally, from a usability perspective, there's a difference between controls that maintain state, such as JCheckbox and JTextArea, and those that initiate actions, such as JButton and JMenuItem. I have seen a (web) app where clicking on a radio button takes you to a different page. That's bad. Even if you're planning to use listeners internally, to update the state of some model, you should ask yourself why the collection of GUI elements do not in themselves provide you with a model.