You can choose any of them.
If you choose the on-line installation, you have to stay on-line until the installer will be downloaded on your computer. Once the installer is on your hard disk, it will continue to download and install Java from the site. Only after the completion of this quite long process you should reload your computer to finish the installation.
If you choose the off-line installation, you will download the whole Java installation package to your hard disk and install it as a common program. Since you download the package, you can disconnect your computer from Internet.
To be short, if your Internet connection is slow, unreliable or expensive you'd better choose the off-line one.
