If both dng and crw have the same original raw data, which format would you prefer? (or suggest to use?)
The data is the same, so use whichever one is convenient for you.
CHDK raw (generally saved with a CRW or CR2 extension) is just a framebuffer dump, it's not in the actual Canon CRW or CR2 format, and it doesn't contain any exif or other metadata. DNG is the same data, in a standard package, plus exif. So in general, DNG will probably be easier to work with. The main disadvantage is that capturing DNG is somewhat slower.
If your camera supports raw as a Canon firmware option (without CHDK), then that will be in the actual CRW or CR2 format. This is probably a good choice on the cameras that support it.