There are some advantages, like better absorption and somewhat slower release, lot of guys do bit better on topical - but there are not many transdermals/creams on market and they are all expensive as well. And usually oral works fine.
Very interesting post by Raymond Peat, MA, PhD (Univ. of Oregon)(tough I think its not entirely correct):
"Pregnenolone is largely converted into two other "youth-associated" protective hormones, progesterone and DHEA. At the age of 30, both men and women produce roughly 30 to 50 mg. of pregnenolone daily. When taken orally, even in the powdered form, it is absorbed fairly well. One dose of approximately 300 mg (the size of an aspirin tablet) keeps acting for about a week, as absorption continues along the intestine, and as it is "recycled" in the body. Part of this long lasting effect is because it improves the body's ability to produce its own pregnenolone. It tends to improve function of the thyroid and other glands, and this "normalizing" effect on the other glands helps to account for its wide range of beneficial effects."