That depends on many things? Are you a seasoned traveller or is it your first trip? Is it a destination you've been to before (perhaps many times) or is it your first visit? Do you speak the local language? Are you travelling in a remote or dangerous area where travelling alone is just plain stupid? Are you travelling in a area that requires you to be travelling with a registered tour group? Are you travelling completely alone or are you travelling with a companion or partner/family? And obviously your own personal preference.
I've always done a mix of both when I've travelled depending on all of the above things. AS long as it;s safe and not too remote, if I've got a travellling companion with me, I prefer to do my own thing. I usually only go with a guided tour if I am travelling by myself or if the area requires it. about 8 years ago