Of course if you ask on this forum the answer would be "Both!".
I find the two machines are complementary.
If you want to break it down it's mainly that a lathe is better at making cylindrical, threaded or tapered "conical" parts and a mill is better at making flats, slots, dovetails, etc. (linear parts). It has everything to do with how the work-piece is presented to the cutting tool. On a lathe the part is rotating about some axis. On the mill the part is moving with the x, y, and z of the table as the cutting tool rotates.
Of course, you can also add a milling table to the cross-slide of a lathe OR turn a cylindrical part in the collet of the mill, using the table to hold a cutting tool. In both cases you'll find that it's awkward being limited by feed-screw lengths, etc. on a machine not exactly design for that purpose.
I have certainly seen more used lathes for sale than milling machines.
I suspect that there are many more lathes around than mills.