I'm assuming you're asking solely with regards to what will improve your grad school application.
With that goal in mind, it's best to do math research personally, ideally with a well-known professor. You can usually write up a proposal to your university and get some funding comparable to what an REU would pay. It will look much better on your application for a number of reasons I'm sure you can work out yourself.
I feel the advantages of REU's are more than improving your application. For me it was a great experience to visit another math community and make new friends and get myself out there and known by more people. I also really liked the location I was in, so it was basically a brilliant vacation. I'd recommend finding the largest REU you can find, not only is it better for partying and meeting people, but they have the most money and attract the most attention and can result in the most opportunities. For me it resulted in an opportunity to attend some conferences, including one overseas.
I would recommend applying to some REU's even if your quarter system interferes with the scheduled dates. There were several students at my REU on quarter-systems, who arrived a week after the scheduled date, and the REU just arranged for them to stay a week later. It's a general rule of thumb in these math programs that if they think you're a good student and want you in their program, they'll be very flexible and understanding about things like that.