We bought both. My daughter, who is physically more adventurous than my son, tried out the toilet insert a few weeks after being successful with the chair. DS has still yet to go at home (though he's pee'd at school), but now after a month he'll try either the chair or the insert. He is shorter than DD, so that may have something to do with his lack of confidence getting all the way up on the real potty.
I do think the insert/big potty can be intimidating. DD certainly would not have tried to go potty on it, if she hadn't already gone in the little chair. But each kid is different.
-Kate
Mom to Sally & Leo - 2/20/07