Should I buy Spelunky on Steam or on PSVita ?

Go for Vita, and then steam when it goes on sale. At least that's what I would do if I owned a Vita (unless that version has horrible framerate or something).

If you are going to buy it buy it on steam. On the other hand you could always just play the free version.

Spelunky

Well If you're going to play this game hardcore than Steam. But if you wish to play something when you're not home at pc than PSVita

If you rage from a bullshit death you're going to throw the Vita against the wall so get it on steam, this way you'll only throw the controller or smash your keyboard, which are cheaper.

But in all seriousness I'd still get it on steam.