Well, it depends on your needs but I can tell you my personal experiences...
Yes, MyWi acts as its own network & can share your wifi connection from a hotel etc. I don't believe TetherMe can do this. It has override data source & keep broadcasting options but neither seems to share a wifi connection. (at least from my brief test). MyWi has advanced options to transmit power so maybe this will use less battery but I'm not sure if MyWi's way of implementing tethering uses more data over the native personal hotspot to begin with so...idk.
I've purchased MyWi, MyWi On Demand & recently TetherMe. I've been a user of MyWi since ios3 (AT&T grandfathered unlimited) and while its worked great over the years (& I've never gotten a tethering warning)... I've noticed recently that it just didn't seem to work "as well" on iOS 7 & 8 as it had previously on earlier firmwares. It still works well for the most part but with some annoyances.
My main use for tethering is to connect to my in vehicle mounted iPad & my old iP4 so I like the hotspot to start up automatically. There's a few ways you could get the hotspot to start by either using activator to toggle it on when connected to power/Bluetooth etc or in my case I always preferred using MyWi OnDemand which auto starts and connects when the client device is unlocked. However as I said, OnDemand hasn't worked consistently for me on ios8. More times than not it doesn't work which ultimately caused more trouble than just manually enabling the toggle via the phone itself.
This issue and ios8's new instant hotspot feature made me decide to buy TetherMe. At first I thought instant hotspot would auto connect like MyWi OnDemand does but it doesn't; you still need to manually select the hotspot BUT instead of doing it on the phone, you do it on the client device via the Settings>Wifi menu. Basically... "instant hotspot" skips the step of setting up/turning on the hotspot via the host device (ie phone) but you still have to manly select it for the Wifi menu. Therefore to make this selection a little easier...I'm currently using Activator/Actif to check if my iPad is connected to my home wifi and if not, it auto opens to the Settings>Wifi menu so I can tap in the hotspot. I'm still trying to find a way to automate this last step (idk maybe an auto touch script) so it acts just like MyWi OnDemand.
Basically, my point is that the choice of what tweak you choose should be based on your needs. For instance, since I use the iPad in my car, as a novelty, I can also use MyWi to create a wifi network and Kodi to allow anyone in my vehicle to AirPlay audio & video from their Idevices to my iPad.
Honestly though, if you just need to share your iPhones hotspot than I would say TetherMe but if you want more options consider the others. I'm curious myself as to others experinces.