I have a new Mac, should I download from iCloud or use the migration tool?

There are a couple of choices.

Transfer to a new Mac with Migration Assistant works well, but many users report that using Wi-Fi is too slow, and therefore connect the two Macs with an ethernet cable.

The better option I would suggest is to use a Time Machine backup when prompted, which I have used with no problems.

The best option though is to invest the time in setting up your Mac as a new computer, and then import all your files and content via copies you have made on an external drive, or by connecting the two Macs and copying from old to new. This requires time and some knowledge on where to deposit the content and you might not be comfortable with this method.

All your iCloud data will download automatically and this includes contacts, calendars and other data.