I firmly agree with humblebee, Billina, Genevieve, and Anneza. Margot is the name. Margaux is a gimmick. It's almost like a smush of Margot and "faux." or "gauche"
I prefer Margaux, but only because I have this thing about names I actually want to use having the same number of letters (7). Plus once someone pointed out Margot looks a bit like 'maggot', and I just can't get that out of my head now.
I prefer Margot, I can't really say why. That was the first spelling I had ever seen of the name. However, I think it'd be more easily mistaken (in the States) for mar-GOT than Margaux would be for mar-GOX.