I've done (and seen) some of both... and strongly recommend taking your degrees one at a time in your local chapter, council, and commandery. That lets you focus on the lessons in each degree, and absorb them before moving to the next degree. Plus, having some skin in the game (actually taking part in the degree and floor work, as opposed to sitting on the sidelines watching someone else go through the motions) keeps your attention focused and better impresses the lessons in your mind.
Drawbacks to the festival format is that it tends to be a very long day going through all the degrees, and at the end of the day, the lessons, modes of recognition, and even the names and faces of your classmates tend to get all jumbled together, leaving you pretty much confused. And, with the compressed time frames, they tend to"short-form" some of the degrees, particularly the Royal Arch, and you miss a lot of the beauty that comes along with the lessons.
If you take your time, you will have a better opportunity to absorb and appreciate the profond lessons and beauty in the ceremonies.
My two bits...