I've never taught film - though I've been a student in film classes
from high school to graduate school (I do teach music).
 
It depends on what you want to achieve.  If a class discussion is
going to be integral to your students' experience of the film, then
it is probably better to screen it in class.
 
I forgot what the original idea was in creating "The Invisible Cinema"
--the isolated seating arrangement of the original location of the
Anthology Film Archives here in NYC - where it was impossible to see
anybody else in the theater.
 
On the other hand, for many films, the presence of an audience changes
one's perception of the film.  (This is one reason why one of my
teachers used to threaten the class if they watched a film on TV.)
Very often the wide experience of a random audience will reveal additional
meanings or humor.  I can think of two experiences for illustration:
I saw BRINGING UP BABY at the Museum of Modern Art on a Sunday afternoon
where the audience was populated by children.  I dreaded it, but it was
one of the funniest experiences of seeing films, because the kids picked
up on a lot of gestures that I would not have thought funny.  A more
somber experience (in the same theater) was seeing NUIT ET BROUILLARD
(NIGHT AND FOG).  There are always unpredictable results with this
horrifying film -- even laughter (not at the subject, but as a release
of tension).
 
Hope this gives some ideas for you and your class.
 
Bob Kosovsky
Graduate Center -- Ph.D. Program in Music(student)/ City University of New York
New York Public Library -- Music Division
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Disclaimer:  My opinions do not necessarily represent those of my institutions.