I teach both, I use the letter of the week style, we actually go through the alphabet twice. The first time through, i introduce both upper and lower for recognition, however, we work on upper case print. We also stick with one letter sound for each the first time through, and the second time through we introduce the soft sounds and the short sounds. After doing it this way, they seem ready for the first grade phonics program I have.
((edit: sorry, I wrote that we work on the short sounds the second time through, I meant that we work on the LONG sounds the second time through. Short sounds are introduced first time.)) It's just how I'm used to teaching it now that I'm through three preschoolers and have only one left.
Lowercase! DD learned to identify both from watching letter factory, but printing and reading we did more uppercase. I'm hating that now. She picked up quickly that you mostly see lowercase, but doesn't read it as fluently and gets frustrated writing it. She's not yet 5 so she's not behind, but it is definitely causing her more problems than if we'd done lowercase first.