Go by the door sticker unless you are feeling very scientific about it and get the axles weighed independently.  In the latter case, you can look up the recommended pressures for the size and type of tire and base your pressures on that; usually it's not a bad idea to round up a bit in case you should happen to be a little more heavily loaded at some point.  The door jamb pressures are generally determined based on the maximum permissible axle loads for the vehicle, probably with a bit of a safety cushion.
Running with overly high pressures will lead to a harsher ride.  It may also lead to somewhat uneven tire wear (middle before the outside edges), and more importantly degraded vehicle handling.  Overly inflated tires have worse traction in extreme conditions like emergency maneuvers than properly inflated tires.  (On some vehicles, too, overinflated front tires can lead to interesting steering handling.)
The pressure molded in the sidewall of the tire is the maximum permissible in the tire, and corresponds to the maximum load the tire is rated to carry.  It's entirely possible that your rims may have a lower maximum pressure rating than the tires that are on them.
Edit:  The door sticker tire pressures of course only apply to the factory tire size and type, as also specified on the sticker.  If you're using tires of a different size or type, particularly ones that are significantly different, you should go by the weights and the tire maker's tables.  (Weights in this case could be actually measured weights or the GAWRs from the sticker.)