In recent versions of SQL server, execution plans are cached for stored procedures and parametrized queries. The query will have a one time cost to create the execution plan, but this will be very minor and lost in the overhead of even a few calls.
From a performance perspective they will be almost identical.
The exception to this, is if you are doing recursive or nested queries (for each row in query 1, execute query 2), where the round trips between the client and server will add up. In this case, a proc will be much better.
Many companies still have "Everything as a proc" rules, but this is usually due to control of the database and not performance related. As LINQ grows in popularity, this may lessen.
If your application has a single (or few) points of deployment, then use whichever you prefer. On the other hand, if you are deploying to many many installations, then stored procs can in some (but not all) cases allow you to update database functionality without redeploying the client code.