What look are you going for and what does the rest of the house look like? For ease of maintenance I would recommend sealing or leave it to weather naturally to a grey as in the last example. Stain will need to be reapplied over time. Painting would be a much bigger job, and from what I've read, the longer natural cedar ages, even over a short period of time, the less well it holds a painted finish. I like the look of the pergolas below, natural cedar with a sealer to extend the life of the wood, or natural.