The best thing to do is follow the reccomendation of the manufacturer of the stain you will be useing on your deck. There are to many stains out there to give a blanket answer.

Most manufactures recommend spraying and then backrolling it with a roller cover. It provides a more uniform coverage and works it into the wood. Only disadvantage is if it is windy then you end up spraying yours or your neighbors house and it is very hard to get off. Be careful......