It all depends on your situation. I had planned to try and cope with gas and air, but due to an induction where I had a reaction to the drugs I ended up in a lot of pain. I opted for the epidural and it did end the pain. But bear in mind my labour then slowed so much it never got going again and I had to have a ceasarian.
I don't regret any decisions I made as I did them with the best information I had at the time. But next time I intend to have as little interventions as possible. That doesn't mean I wouldn't consider it again if the circumstances called for it.
I wouldn't decide to have one before you've even gone into labour though, but every women is different do a lot of research and decide how you feel about it. 