I prefer tyvek for reasons Steve and jb mentioned. Tar paper used to be used prior to this. One difference is that tyvek comes in a solid sheet with tape to tape any seams and felt is in 3 foot rolls and no way to tape the seams to stop air infiltration but felt may be a little better for water. You are up there where you face those noreasters every so often with lots of wind driven rain which will blow through your siding. Tyvek is good for air and moisture infiltration and felt is ok for moisture infiltration and somewhat air. You get into a long sustained stormy situation and neither will stop it all. There is a site by a college back east that did some studies and If I remember correctly tyvek held water for about 4 minutes and some of the offbrands of tyvek takeoffs didn't hardly hold water at all.
If you are concerned and into overkill, then put on tyvek and then the felt on top before the siding. Tyvek comes in 150' rolls and is only a little over a buck a running foot so you are probably only talking a couple hundred bucks or so. Some places sell it by the foot.