LOST

I've done both.

Ordered a brand new 2007 2 door X model JK in fall of 06 with so many options it made my head spin.
5 years later I traded it in with the same Jeep dealer for a loaded 2012 2 door Rubicon lease return with 8K miles on it.

My only advice is 2012 up, that new motor is something else. Feels like an entirely different vehicle.

Lease returns can be a great deal if you can find the right person to locate one with the options you want. Hardtop, auto, whatever.
Jeep dealers network sales with each other all the time, just need a smart sales person who knows the drill. Internet sales manager might be a good point of contact.
Factory warranty is always included on lease returns. They're typically less than 12 months old, have under 10K miles and remain bone stock.

Some salesmen will be honest and do the homework to see if they can find what you want, some will just lie and say they can't.
I saved about 10K on the Rubicon by waiting for them to find the one I wanted and transfer it to their lot. Took about 2 months.

Good luck with your search!