Definitely primed if you are undecided about the colour.

Hardie comes primed already as for color the painted is great but they have limited colors I would have it installed unpainted and then choose a color of your choice

James Hardie's ColorPlus Technology is a baked-on factory finish that is specially formulated to stand up to UV levels in a way few field-applied paints can, offering up to 30% more fade resistance. Check out the palette here: http://www.jameshardie.com/homeowner/colorplus-palette.shtml

The factory applied color is a great way to go but bear in mind you have to buy the color matched caulk that hardie sells as well. With unpainted you can use normal exterior caulk. I've installed both the primed and factory finish. The factory finish is definitely a lot less work as the primed will need two coats of paint.