It depends when you want to be informed of the event.
If you want to know immediately, go with click. IE updates the state of checked before the handler function is called, and I think the other browsers do as well. You may want to double check as I only have IE to work with right now.
If you only need to know before something else happens, you can use change. IE will not fire the change event until the selected radio button loses focus. FF/chrome/others may fire the event without focus changing, but I believe IE is actually doing it right in this case.