Hopefully this will help.
With a dyno tune, you have a professional looking at live data your car is feeding out to him. He can dial in any specific parameter than he needs to according to the feedback he is getting during the tuning process. This is the most reliable way to tune a car as you can adjust any parameter that needs it.
With a handheld tuner, you are mailed a "canned" or custom tune. The canned tunes are just baseline tunes that "normally" work for your make/model car. They rarley do much, and you are better off using your user end tuning abilities (to modify fuel/spark) to squeeze the most out of them.
A custom order tune on a handheld tuner is better, as you tell the company what modifications you have, and what your plans are. They will create a tune that suits them best, and send it to you. They are USUALLY accurate, but not always.
If you have a ton of mods, a custom dyno tune is best.
If you want a little bang for the buck than a mail order tune will suffice.