Just played on 2* with Liverpool against Arsenal and Lehmann was sent off with 2 yellow cards after he fouled me twice in one on one situations

It depends on the player, you cannot say which method is the best in general. If you´re in a 1 on 1 situation with a player who has the "1 on 1"-special ability then a normal shot gives you a goal in most cases. Dribble around the keeper is more dangerous in PES3 compared to PES2 because sometimes the keeper grabs your legs and you stumble (but not fall), then the chance is wasted and you won´t get a penalty.
A chip over the keeper is recommendable if your striker has a high rating in "reaction", at least it´s called so in WE7, it has virtually nothing to do with reaction though, it determines the ability of your player in short passes and chipped balls. Eg Crespo is a player with a high rating in this one.