I think that you go with a canister filter, and you don't do a sump until you have a reason to do so. that reason ends up being money.
so for a 125 gallon, you can do a canister for $500 or less. For a $250, you'd need 2-3 of those canisters. You don't want to pay $1000 - $1500 on canisters, so you build a sump for $200-$300.
I have a 540 gallon, no WAY I was gonna put multiple canisters on that tank, and keep adding them until I got clean water--where would it stop? I might end up with 5 canisters on a tank that big. Where would I put 2 heaters? So I built a sump.
It's a money thing. Although, it does have other advantages, too -- nothing in the display tank. I have fish in that tank now that would mess up heaters, and thermometers, etc.