VPS all the way
There you can install your own software and you get better speed (at least I have that experience)

I had yet another problem on RDP.
I couldn't download much from torrents, since disk was overloading all the time, and speeds would just drop... that was happening with even 1 active torrent. Maybe I choose bad RDP provider, but he had quite popular thread and good reviews...

And on VPS you get your own IP, so you wont get messages like: "there is already some1 logged with your IP"