There is no single answer because it depends upon what you are studying. If you wish to know about transcription of the gene and how it is regulated, then it is best to directly study transcription. If you wish to know about the production of the actual protein product, then you need to directly measure the protein level which will be a combination of transcription levels, mRNA processing, and translation levels. Lastly if this is an enzyme then you might wish to measure activity levels as being the most relevant.
Protein expression measurements can be more accurate than gene expression measurements because of their direct impact on cell function and processes. In some studies, direct measurements of protein expression and levels of secreted proteins are more reliable than mRNA measurements because mRNA alone is not sufficient and many RNAs are not translated into proteins. While 85% of gene expression changes depend on mRNA levels, examining protein results provides a better overall picture of biological activities.