It's definitely a regional thing. I was taught that it sounded like the "Y" in Yellow, but I've noticed that people who learned Spanish in Mexico City, sometimes make it sound more like the "J" in Jello. This is especially true for the word, "Yo". To me that pronunciation sounds pretentious and I avoid it.
In general, "When in Rome..." Listen to the people around you and copy the sound they make. If you are going to a particular region, get a hold of recordings of speakers in that area and listen to them before you go.
My bias is to just use your first option for general learning of Spanish. I don't think you'll be misunderstood even by people who use the second option.