Both. I frequently play a course that has both---holes through the woods ranging from short to long, with various widths, and open holes that are often windy, some of which involve OB.
I'm not sure which is more challenging. In the woods, once I'm familiar with holes I know what to throw off the tee, whereas in the wind I have to decide, which is trickier when it's not a direct headwind or tailwind. On the other hand, when I miss the fairway in the woods, the "save" shot can demand all sorts of skills, some of which I don't possess.
Though I do find high winds fun to play in---my language at the time, notwithstanding---a very open course, particularly open with no OB, gets a bit redundant, even in the wind. Some not-so-well designed wooded courses do, too, I guess.