I have a domain name registered and parked at GoDaddy.
I am going to associate it with the hosting space I'm buying.
The question is: shall I redirect to the space, transfer it to the host, or change the nameservers?
Are there any other choices?
What and why is better?
Agreed. Best practice would be to keep hosting and domain registrations seperate. You asked why? What happens when you no longer want to use your current host? If the domain is with them you are in a pickle. If you have them seperate you just find another host, go into your Godaddy, eNom, Tucows, etc. Control Panel and change the nameservers to the new host and your done (after propagation that is). Flexibility and control are the buzz words here.