According to this research, IUI leads to successful - ongoing pregnancies in 9% of the cases (IVF is higher, and I think closer to 20%). If the problem is with the sperm, you might want to enhance chances and go to IVF because this way the lab technician can "help" the sperm enter the egg, and induce conception.
I say give it a try once or twice, and if it doesn't work, move on to IVF. The hormone shots etc. are pretty similar.