The 2008 election was unusual in that it guaranteed one new Senate -> President promotion. Going from a Senate position to President is rare. Only 16 people have done it. See: the list of people who have done it before. Harding and Truman were the last two of three to do it. Obama was the third.
Of the two, I think I'd rather have a Senate position. As long as you're not a total screw up, a place in the Senate is for as long as you want it. Great pay, great benefits, great perks, and you only have to work once every six years to get reelected.
To answer your question, Governor has traditionally been a better on-the-job training position for President. In fact, only one other person who has been a sitting senator when elected President - Warren Harding. (JFK doesn't count as his Senatorial term was expiring).
No, the JFK Senate term expired on Jan. 3, 1963, the same year as his death. Benjamin Smith held in awaiting the arrival of the over-emphasized EMK.