To grind your own beans, you need to invest in a quality coffee grinder. This allows you to precisely grind the beans to the particle size necessary for a good extraction. When grinding your own espresso, you have control over the final product by adjusting the amount and type(s) of coffee used. Whole coffee beans for grinding are also typically cheaper than a pre-packaged pod.
If you're looking for convenience, an espresso pod may be just the way to go. A compressed puck of coffee packaged and wrapped in a filter, these pods are much cleaner than grinding. Once your espresso is made, you can simply throw away the remains without having to worry about cleaning any grounds. However, be prepared to pay for the convenience of these perfectly-sized espresso shots - they generally are more expensive than whole coffee beans.