Is peer to peer "better" than direct when dealing with the WoW downloader

The use of peer-to-peer will also depend greatly on your ISP's traffic shaping scheme.
Blizzard uses bittorrent for its p2p, and uses the default ports at that. Due to the way bittorent is used quite frequently for piracy, there are ISPs that will reduce the ability to download over these ports.
Another issue is that it uses multiple connections to download the files, and many modems/routers can't effectively handle the number that bittorrent works best under. From what I remember, Windows XP also had this issue unless certain settings were changed.

Blizzard prefers you to use P2P because it lightens the load on their own servers, by having users share in the uploading burden. So it depends what you mean by "best".

Everything said so far is accurate, I'd add the following however:

P2P: Works best when there is a lot of users downloading (and by extension, sharing) the file.

Direct: Works better when there are few people downloading the file.

Due to the architecture of the system used, the more people using the P2P download the faster you'll be able to download it yourself. The opposite is true for the direct download. Blizzard server only have a set capacity to share the files.

Therefore, when a new patch is release there will be a lot of people downloading the file at the same time and therefore assuming your ISP/router have no problem with a P2P system your download speed will probably be better than by using the direct download option. After a while, when you reinstall the game for example, much less people will be sharing the file and as such it will probably be faster to use the direct download option.

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