Depending on the form that it takes, each has its own merits and drawbacks.
Magic, in virtually all cases, is vastly, vastly more versatile in its applications, yet has the potential limiting factors of incantations, hand gestures, or inscribing runes or sigils that take time, and even in their absence, tends to have a limited number of applications within a period of time determined by the user's own reserves of magical power. The obvious drawback in general is the time it takes to invest is developing a mage, and the unique limiting factors of every different type of mage. The possibilities are endless, of course, but it does have its drawbacks.
Weapons, on the other hand, are straightforward in their designed applications. It's relatively simple to train to be functionally competent with one, or even a handful if the principle of use is similar, and obviously their effectiveness is pretty much advertised in the methodology they employ to be effective within. A gun will be as accurate as trained to be, a sword will cut when swung, etc. The drawbacks of weapons, of course, is maintenance and ammunition, in the items to which the latter is required.
If I had to choose between the two as a personal preference?
Magic, without a doubt. When you compare the investiture of time and resources between the pair of them, it is the longer and more consuming path. However the rewards at the end of becoming proficient are far greater. Magic can be applied as a weapon, as armor, as transportation, as utility, and as recreation. If forced into a confrontation singly, a weapon might give me a simpler edge, but if a confrontation led to me being outnumbered, the ability of magic as a force equalizer vastly exceeds that of possessing a singular or even multiple weapons.
Given enough weapons, you could make an army, to be sure. Given enough magic, however, and you could reshape the entire world.