I have to vote "neither" simply because my decision between those two options would be very circumstantial.
For instance, I'd never want to turn into a pony with no hope of changing back for two simple reasons.
Firstly, it's unpredictable. I have no clue how it feels to be a pony, and with that in mind, I can't know if it's a feeling I'd particularly like. I've never had hooves, a tail, a snout, and many of the other physical attributes of the ponies of the show. That would probably mean it would take a fair amount of time to get used to walking with four legs, holding things with hooves and the like, and I’m not even sure if that sort of intuitive coordination can be learned as an adult.
Secondly, I think I’d miss being a human. My friends are human, my family is human, my memories are of human origin, and on top of that, fingers are just way too awesome. I don’t really want to go to the trouble of learning how to play the piano all over again with hooves.
That being said, if I got to try the whole being-a-pony-forever thing for a day beforehand, there’s the possibility I might change my mind, although I doubt I would. If, however, I was offered the ability to transform into a pony and back at will, I’d totally be up for that! Now, on to the other option.
I’m not a pet person, so “having” a pony play that sort of role wouldn’t be something I’d be comfortable with. I don’t consider myself capable of caring for a pet to the extent it needs to be cared for, so having a pony in that sense wouldn’t really suit me. If we’re just talking about having a pony companion, that’d actually be pretty darn cool though.
There are more factors I’d be considering than just these few in the scenario I’d be making this decision, but in the end, if I was forced to decide between only the first two options, I’d probably go with having a pony.
Although, since there’s a “neither” option, I’m going with that just to be safe.