Personally, I've tried both sprayed-on and stick-on. Both worked fine, however both situations were different.
Didn't have running boards on 98. 5 truck, just tube step. So, the rocks and road debris would fly up and chip paint, not to mention my feet rubbing on door sill as I entered the truck. Solution: had line-x sprayed along rocker panel and door sill. Looked great and prevented chipping. A little spendy though... couldn't afford gauges after that.
Second truck, 2001. 5, I had full-length, factory running boards installed. Solved chipping, but still had to protect door sill area. Solution: installed stick-on protectors from dealer. Cheap and works great.
If you decide to use a spray-on/roll-on coating, make sure it will stand up to UV and road salts/solvents. Will start to look like heck in a hurry.