Either works. The key with spices is that they be fresh. Whether you buy somebody else's mix or do your own, it's crucial that the time between when the components are ground and when the product is eaten be as short as possible.
For example, if you are making your own rub "fresh" with spices that have been sitting around a supermarket warehouse/shelves for several months, you won't get the same punch out of the spices that a rub that is ground, packed and shipped straight from the packer in short order.
Of course you can always grind your own spices at home if you are willing to go through that effort...