The only set back for a short sale is the value of the home. Since you are behind the mortgage, the value of the house will be much lower based on the debts that you have in the bank. But the biggest advantage of short sale is that, it will eliminate the foreclosure on your record. Should you decide to buy something or to borrow money, your credit score will not be affected with the foreclosure.
I think a short sale is better than foreclosure because this will show to the bank that you are still the boss. But in every decision that we make, there are some sacrifices, and you may need to compromise the value of your home because of this. A short sale would not only save you from foreclosure but will also save your credibility in financial aspect.
You may consult foreclosure experts or your real estate agent for the possibility of a short sale in case that foreclosure threat is becoming strong. It is all your decision after all.