There is no definitive answer to this question as it depends on a number of factors, such as the type and size of boat, the waters you'll be sailing in, and your personal preferences. That said, let's take a look at the pros and cons of each option to help you decide what might be best for you.
Rudders are typically used on larger boats and offer greater control and maneuverability than skegs. They're also less likely to get caught on obstacles in the water, making them a good choice for sailing in rougher conditions. On the downside, rudders can be more difficult to repair if they're damaged and they can add drag to your boat, which can impact speed.
Skegs are most commonly found on smaller boats and kayaks. They provide good tracking and stability but don't offer as much control as a rudder. Skegs also tend to be less durable than rudders and can be more difficult to repair if they're damaged.