16:9 or 4:3 and later in post 16:9
 

What is better to do?

Shoot directly in 16:9

Shoot 4:3 , mask 16:9 with tape on monitor while shooting , and then pan & scan to 16:9

Equipment: Sony DCR-VX2100E PAL - Sony Vegas 6

I doubt it would make much difference in terms of final image quality with your camera. When I was using the Canon GL1/GL2 I shot 4:3 in case I wanted output in that format, then could process either way from there. But shooting 16:9 would save you some time during editing if you know 16:9 is your intended output.

I don't know anything about your camera, but I would say it depends on what the cam shoots natively, wouldn't it? If it's a native 4:3 camera, than you have nothing to loose shooting 4:3 and changing to 16:9 in post (whereas the opposite would cause resolution loss). And the opposite for a native 16:9 camera, where cropping a 16:9 frame to 4:3 in post will result in the same resolution as having shot 4:3 in cam.

So , the only thing that changes is the pixel aspect ratio...

Correct me if I'am wrong.

But if I shoot in 4:3 and then pan & scan to 16:9 I'll cut of almost 1/3 of the original image...

You camera is key. Which camera are you using, it makes a difference. With the VX2000, I believe the pan and scan method is better than the camera's 16:9 mode. I now have a "native" 16:9 in the FX1m and that will make a difference.