Both SP and Multiplayer have pros and cons.
In single player, unless you have a hacked client, you have no 'server commands.' However, it has the least amount of lag.
On the other hand, multiplayer, assuming you have a normal server handed out, allows you to change the time, which can be useful if you are just starting out and don't want to face a ton of zombies when it's getting late, or can't wait for your first boss fight and just want it to be night time already. Not to mention, it can be easy to get a free Tshock server, which allows you more freedom, including the ability to spawn items.
Note, though, that if you do Multiplayer with a bad computer it may lag your computer. If time or items don't interest you and you just want to play Terraria, stick with Single Player.
The server can also die without saving if you simply close it down, or if it crashes. Make sure to use exit command when you are done and it's a good idea to save often
However, on a side note- You should play through all of Terraria before spawning in items with Tshock, just so you can have fun with it, or else spawn your items while having a SP.