Of course it depends. What do you want your Mega Glalie to do? and what does it need to do for your team? are two very important questions to ask, and then answer, yourself.Opinion Question...
Which moveset of the Mega-Glalie is more useful?
The Jolly Moveset, The Naughty/Naive Moveset, or does it depend?
http://www.smogon.com/dex/xy/pokemon/glalie
If you are instead building a team around MegaLie, then, the set is still up to you. Personally, I'd probably go for Naive/Naughty set, due to it being the "All-Out Attacker" and I'd leave the hazards to another teammate. Well, imo...