Both techniques are reproductive technologies, and as such, we cannot say that one is better than the other. Actually, it depends on the diagnosis of each couple.
In the case of conventional IVF, we put the oocyte in contact with a determined concentration of sperm, so that the sperm itself fertilizes the egg, which resembles natural fertilization to a large extent.
In many cases, sperm quality is altered, in which case using the sperm won't be possible. In such situations, we use ICSI. It consists in microinjecting the sperm, which is subjectively selected by the embryologists, into the oocyte.