I learned class field theory from the Harvard two-semester algebraic number theory sequence that Davidac897 alluded to, so I can really only speak for the "local first" approach (I don't even know what a good book to follow for doing the other approach would be, although I found this interesting book review which seems relevant to the topic at hand.).
This is a tough question to answer, partly because local-first/global-first is not the only pedagogical decision that needs to be made when teaching/learning class field theory, but more importantly because the answer depends upon what you want to get out of the experience of learning class field theory (of course, it also depends upon what you already know). Class field theory is a large subject and it is quite easy to lose the forest for the trees (not that this is necessarily a bad thing; the trees are quite interesting in their own right). Here are a number of different things one might want to get out of a course in class field theory, in no particular order (note that this list is probably a bit biased based on my own experience).
(a) a working knowledge of the important results of (global) class field theory and ability to apply them to relevant situations. This is more or less independent of the items below, since one doesn't need to understand the proofs of the results in order to apply them. I second Pete Clark's recommendation of Cox's book /Primes of the form x^2 + ny^2/.
Now on to stuff involved in the proofs of class field theory:
(b) understanding of the structure and basic properties of local fields and adelic/idelic stuff (not class field theory itself, but material that might be taught in a course covering class field theory if it isn't assumed as a prerequisite).
(c) knowledge of the machinery and techniques of group cohomology/Galois cohomology, or of the algebraic techniques used in non-cohomology proofs of class field theory. Most of the "modern" local-first presentations of local class field theory use the language of Galois cohomology. (It's not necessary, though; one can do all the algebra involved without cohomology. The cohomology is helpful in organizing the information involved, but may seem like a bit much of a sledgehammer to people with less background in homological algebra.)
(d) understanding of local class field theory and the proofs of the results involved (usually via Galois cohomology of local fields) as done, e.g. in Serre's /Local Fields/.
(e) understanding of class formations, that is, the underlying algebraic/axiomatic structure that is common to local and global class field theory. (Read the Wikipedia page on "class formations" for a good overview.) In both cases the main results of class field theory follow more or less from the axioms of class formations; the main thing that makes the results of global class field theory harder to prove than the local version is that in the global case it is substantially harder to prove that the class formation axioms are in fact satisfied.
(f) understanding the proofs of the "hard parts" of global class field theory. Depending upon one's approach, these proofs may be analytic or algebraic (historically, the analytic proofs came first, which presumably means they were easier to find). If you go the analytic route, you also get:
(g) understanding of L-functions and their connection to class field theory (Chebotarev density and its proof may come in here). This is the point I know the least about, so I won't say anything more.
There are a couple more topics I can think of that, though not necessary to a course covering class field theory, might come up (and did in the courses I took):
(h) connections with the Brauer group (typically done via Galois cohomology).
(i) examples of explicit class field theory: in the local case this would be via Lubin-Tate formal groups, and in the global case with an imaginary quadratic base field this would be via the theory of elliptic curves with complex multiplication (j-invariants and elliptic functions; Cox's book mentioned above is a good reference for this).
Obviously, this is a lot, and no one is going to master all these in a first course; although in theory my two-semester sequence covered all this, I feel that the main things I got out of it were (c), (d), (e), (h), and (i). (I already knew (b), I acquired (a) more from doing research related to class field theory before and after taking the course, and (f) and (g) I never really learned that well). A more historically-oriented course of the type you mention would probably cover (a), (f), and (g) better, while bypassing (b-e).
Which of these one prefers depends a lot on what sort of mathematics one is interested in. If one's main goal is to be able to use class field theory as in (a), one can just read Cox's book or a similar treatment and skip the local class field theory. Algebraically inclined people will find the cohomology in items (c) and (d) worth learning for its own sake, and they will find it simpler to deal with the local case first. Likewise, people who prefer analytic number theory or the study of L-functions in general will probably prefer the insights they get from going via (g).
I'm not sure I'm reaching a conclusion here: I guess what I mean to say is -- I took the "modern" local-first, Galois cohomology route (where by "modern" we actually mean "developed by Artin and Tate in the 50's") and, being definitely the algebraic type, I enjoyed what I learned, but still felt like I didn't have a good grip on the big picture. (Note: I learned the material out of Cassels and Frohlich mostly, but if I had to choose a book for someone interested in taking the local-first route I'd probably suggest Neukirch's /Algebraic Number Theory/ instead.) Other approaches may give a better view of the big picture, but it can be hard to keep an eye on the big picture when going through the gory details of proving everything.
(PS, directed at the poster, whom I know personally: David, if you're interested in advice geared towards your specific situation, you should of course feel welcome to contact me directly about it.)
Best Answer
The following example is perhaps expressed a bit loosely but it is morally correct, and it is fundamental.
Suppose that for each prime $p$ we have chosen a decomposition group $G_p=\mathrm{Gal}(\bar{\mathbf{Q}}_p|\mathbf{Q}_p)\ $ of $G=\mathrm{Gal}(\bar{\mathbf{Q}}|\mathbf{Q})$. If we are given a global character $\chi:G\to\mathbf{C}^\times$, then we get by restriction a family of local characters $\chi_p$ of $G_p$ almost all of which are unramified in the sense of being trivial on the inertia subgroup $I_p\subset G_p$. Conversely, when does a family $(\chi_p)_p$ of local characters, almost all of which are unramified, come from a global character ?
The reciprocity isomorphism of local class field theory at the various primes allows us to attach a character of finite order $\xi_p:\mathbf{Q}_p^\times\to\mathbf{C}^\times\ $ to each $\chi_p$. Since the $\chi_p$ are almost all unramified, the $\xi_p$ are almost all trivial on $\mathbf{Z}_p^\times$, and hence give rise to a character $\xi:\mathbf{A}^\times\to\mathbf{C}^\times$ of the idèles of $\mathbf{Q}$. Now the condition for the $\chi_p$ to come from a global $\chi:G\to\mathbf{C}^\times$ is that this $\xi$ should be trivial on the subgroup $\mathbf{Q}^\times\subset\mathbf{A}^\times$. In other words, $\xi$ should come from a character $\mathbf{A}^\times/\mathbf{Q}^\times\to\mathbf{C}^\times$. This is a truly global condition and cannot be expressed by any collection of local conditions.