The second form is indeed more efficient because the argument doesn't have to be read, inserted and read again (while the second read process is quicker), but only the first one is fully "stable".
Note that the second form would still allow a parameter text like \setmacro#1{foo #1 bar} which would expand to \def\macro#1{foo #1 bar}. In most cases you don't want that. Also it requires braces afterwards: \setmacro\foo would lead to \def\macro\foo which would read everything up to the next { as parameter text and then causes problems with error messages which are difficult to understand for an end-user. This case would work with the first definition.
If you define \setmacro as part of a class or package (like \title etc.) I would use the first version. The overhead is not meaningful on modern systems, especially if the set-macro is only used once or twice, but you are avoiding issues if the set-macro is used in a wrong or unexpected way.
\let. It's not always possible to use\letin this case, but if it is, it might be the best compromise between efficiency and error checking (see Martin Scharrer's answer). – MMM Oct 7 '12 at 12:07