The AM2302 (or DHT22) supports power supply between 3.3V and 5V DC.
I have seen both possibilities in various tutorials, although it seems most people go with 3.3V.
Is it preferable to supply it with 3.3V, or 5V from the Raspberry Pi?
You can power the device with either 3.3V or 5V.
People use 5V when the device is at the end of a long wire (many feet). The voltage drop along a long wire can make 3.3V operation unreliable.
Make sure that regardless of how you power the device the pull-up on the data line is to 3.3V. The Pi's GPIO should not be exposed to more than 3.3V.