Either way is fine. There is no requirement for the lighting and fan to be GFI protected. The fan would require GFI protection if it were over the footprint of the tub or shower. I would use the GFI receptacle, less cost and easier to reset should it trip and less work to do in the panel too.
You should run a #12 ga, 20 amp circuit for this room. The lighting and fan can share the circuit with the receptacle if the circuit serves only that bathroom. The receptacle needs to be within 3' of the basin edge.