Creating an object: with or without `new`

Possible Duplicate:
What is difference between instantiating an object using new vs. without

This is probably a basic question, and might have already been asked (say, here); yet I still don't understand it. So, let me ask it.

Consider the following C++ class:

class Obj{
    char* str;
public:
    Obj(char* s){
        str = s;
        cout << str;
    }
    ~Obj(){
        cout << "Done!\n";
        delete str;        // See the comment of "Loki Astari" below on why this line of code is bad practice
    }
};

what's the difference between the following code snippets:

Obj o1 ("Hi\n");

and

Obj* o2 = new Obj("Hi\n");

Why the former calls the destructor, but the latter doesn't (without explicit call to delete)?

Which one is preferred?