Outdoors without a doubt. I lived outdoors (trying to cycle around the world) for over a year and I guess that says everything.
Indoors is just too stuffy and I can't hack it. I have to have the windows and doors open all year round.
I think for me it depends on the activity. I'm big on power walking and for that the obvious choice is outdoors, providing the weather is good as in no rain, not too hot or cold. If it's for anything else, I much prefer to be indoors.
When it comes to me working out, it depends on the kind of work out I am to do as there are some kind of work outs that I do which requires enough space and so I do such outside on the field of play as I train to play soccer rather than just working out for the sake of gaining muscles to be used as a body builder or bouncer.