These are two increasingly popular ways of taking CBD. Oil is dropped under the tongue whilst capsules are swallowed whole (with any suitable drink). The question as to which is best is highly subjective and mostly comes down to personal preference. Having said that, both have their pros and cons.
The advantages of CBD oil are that it can be good for those who don't like to swallow capsules, it tends to be higher strength than capsules and also more vegan-friendly (because many capsules contain gelatine). It also allows the user to more-easily experiment with different dosages. Additionally, it has a higher bioavailability than capsules - which essentially means it reaches the bloodstream more quickly than capsules. The potential downsides are that it may be harder to track how much has been taken, and that some people do not like the taste of the oil.
The advantages of CBD capsules are that they can disguise the taste (which not everyone likes), they are more like 'normal' supplements so can easily be added to daily routines, it is easy to take an exact dosage, and there is a wider choice available. The main potential downsides are that they are more expensive than oil and they are not suitable for people who have trouble swallowing tablets or capsules.