I would have to say that using CoreAnimation is always preferred over CoreGraphics, since it's more high level, and abstracts the low-level details of drawing the shadow. (It may also allow apple to optimize the shadow drawing without hurting your code syntax).
However, there are times where you are overriding drawRect: anyways, and you have very specific use for the shadow, not the whole view's layer. You might wanna use CoreGraphics shadows here.
One last note, CoreAnimation gradients are much faster when rendering, take my word for it. I used it on UITableViewCell, and the scroll performance significantly increased, as opposed to using CoreGraphics Gradients. That comes at a price, though. It's a bit worse-looking.