There are pros and cons to both. Baked donuts are easy-to-make, have less calories, and have a denser, cake-like texture. Fried donuts will vary in texture depending on whether they're cake or yeast donuts. Cake donuts will have that dense, rich texture while yeast donuts are light and airy. Fried donuts are higher in calories and require more effort to make. However, they have that crispy and soft deep fried texture that we love.