The same applies to stdout:
print 'spam'
sys.stdout.write('spam\n')
As stated in the other answers, print offers a pretty interface that is often more convenient (e.g. for printing debug information), while write is faster and can also be more convenient when you have to format the output exactly in certain way. I would consider maintainability as well:
You may later decide to switch between stdout/stderr and a regular file.
print() syntax has changed in Python 3, so if you need to support both versions, write() might be better.