Morizabal,
If I recall correctly, a two wire transmitter requires excitation voltage from the device it is connected to. A three-wire transmitter allows you to use an external supply (typically 15-30VDC).
Some PLC's provide power for your transmitters and some don't. As for preference, if you can do without the extra external power supplies, you can save on cost. Also, if you use the PLC's power, you minimize noise issues.
Hope that helps.
LarryG