In almost all cases, you should use external style sheets instead of embedded style sheets. And you should avoid using the style attribute at all. Using external style sheets results in better organized, easier-to-maintain code. Because the browsers can cache the style sheet, the code doesn't need to be redownloaded as a visitor navigates through your site.
In addition, it's a good idea to avoid multiple stylesheets when possible: forcing the user to download more than one stylesheet - either through several <link> tags in HTML pages or through @import statements in the stylesheets themselves - will result in slower page loads, since most browsers limit the number of concurrent file downloads.