Which type of empanada is better between baked and fried is a very personal choice. Both are crispy and fun to eat, with the same flavor profile. The difference is just in the texture of the crust. Deep fried will have a more flaky, tender crust, but with additional oil. Baked empanadas will have less of a golden crispiness all around and won't be as flaky. Both are great, in my opinion.