When given two types of sequences (DNA or Protein) what is preferred for making a phylogenetic tree?

I'd answered this question earlier. its DNA-DNA Hybridization.
DNA-DNA hybridization generally refers to a molecular biology technique that measures the degree of genetic similarity between pools of DNA sequences. It is usually used to determine the genetic distance between two species. When several species are compared that way, the similarity values allow the species to be arranged in a phylogenetic tree; it is therefore one possible approach to carrying out molecular systematics.

Charles Sibley and Jon Ahlquist, pioneers of the technique, used DNA-DNA hybridization to examine the phylogenetic relationships of avians (the Sibley-Ahlquist taxonomy) and primates.[1][2] Critics argue that the technique is inaccurate for comparison of closely related species, as any attempt to measure differences between orthologous sequences between organisms is overwhelmed by the hybridization of paralogous sequences within an organism's genome.[3] DNA sequencing and computational comparisons of sequences is now generally the method for determining genetic distance, although the technique is still used in microbiology to help identify bacteria.[4]

[edit] Method
The method, as developed by Sibley and Ahlquist, compares the labeled sample after it is hybridized to itself vs. its melting after hybridized to unlabeled DNA of another organism.[5] DNA from the two species to be compared is extracted, purified and cut into short pieces (e.g., 600-800 base pairs). The DNA of one organism is labeled, then mixed with the unlabeled DNA to be compared against. The mixture is incubated to allow DNA strands to dissociate and reanneal, forming hybrid double-stranded DNA. Hybridized sequences with a high degree of similarity will bind more firmly, and require more energy to separate them: i.e. they separate when heated at a higher temperature than dissimilar sequences, a process known as "DNA melting".

To assess the melting profile of the hybridized DNA, the double-stranded DNA is bound to a column and the mixture is heated in small steps. At each step, the column is washed; sequences that melt become single-stranded and wash off the column. The temperatures at which labeled DNA comes off the column reflects the amount of similarity between sequences (and the self-hybridization sample serves as a control). These results are combined to determine the degree of genetic similarity between organisms.