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stdout if the user requested it with --help for example, makes it easier to pipe to less, grep it etc.
stderr if you are showing the help text because there was a problem, e.g. parsing the command line arguments.
netcat is the only application I can think of that would redirect -h to stderr, and I can't for the life of me fathom why.
I suppose if you're outputting the help information because someone used improper arguments, you might want to redirect it to stderr, but personally even then I wouldn't use stderr because I don't think spamming error logs with fullblown help text is useful - I'd rather just output a single error pointing out the arguments were malformed to stderr. If someone is explicitly calling your application using -h or --help, then you really shouldn't redirect it to stderr.