What is best for a CSS, if you link it or you have it included with the page?
I hear included with the page is better because it doesnt have to grab the stuff from the file, What do you prefer?

Personally I prefer to have them linked to an external file. That way if you have multiple files on one website. One changes goes sitewide; instead of having to change every file separately.

External files is the way to go. Separate your style from the structure. That's is the whole point of css.

External. It allows the page to load more quickly (since CSS files can be cached) and since, as Tom said, it separates layout from content.

Linked vs. Internal

Internal:
First request loads faster (avoiding 2nd http request)
Every other page loads the same (no caching)
Maintenance is greater (need to maintain duplicate content in many pages)
Bigger pages = more bandwidth consumed

External:
After the first request every other page loads faster (smaller, using css from cache)
Easier maintenance (single point of change)
Modular
Cheaper, fewer http requests = less bandwidth cost


Something else to consider, with the number of bots running around the net (my site gets about 300 different bot visits daily), for search, aggregation, student projects, etc; you may find that by embedding a large amount of CSS that bots could add quite a bit to your bandwidth. Most bots won't load external files so, keeping them external could save you quite a bit here.
I know some people who use CSS to put images in their site to take advantage of this and prevent many bots from slurping their images (saving even more bandwidth). Personally, I think its overkill but, something to consider.