It really depends on your setup. In the most basic sense the configuration item field allows you to draw a direct relation between a CI and multiple incidents/changes and let's you easily report on that relationship. The related list let's you do a many to many relationship, so if you're affecting multiple CIs you can use that and reporting is a little more difficult on that list. Most customers I've worked with use the field all the time, and then use the list only if multiple CIs are affected, but I've seen some other uses a s well.