Technically, a Switch / Case statement is faster because in an IF Statment, each IF / ElseIF is evaluated. In a Switch/Case, once the condition is met, the Switch/Case is exited.
Personally, I find Switch/Case to look cleaner and more readable as well. If it is just a small check as in xwb's example, then I would just use a standard IF or to shorten it I would use an InLine IF. The syntax differs between VB and C#