As with most things, it depends...
Converting mechanical energy to electrical energy and back is never a good for efficiency (Every conversion there is some loss that is dissapated as heat, sound...), but on the other hand, most engines don't need a fan all the time, and an electric fan setup can adjust for conditions faster than a clutch fan, and even with a clutch, when it's not needed a mechanical fan exerts drag on the engine using some power.
The end result is that the more the engine needs the fan, the less likely you are to gain something by going with an electric fan. If it only needs one occasionally, then you're better off going electric, where if it needs one most of the time, mechanical.
The second consideration is that mechanical fans tend to be both simpler (less likely to fail) and can move MUCH more air than electric fans (it has a few hundred hp worth of engine driving it, where the electric fan has a fraction of a hp motor on it). Basically if you need heavy duty/bullet proof go mechanical (RWD police and other fleet vehicles typically will come with a large mechanical fan even if their civilian counterparts come with an electric fan)