That depends very much on what you are using it for. If we suppose that you are thinking about holidays, rather than travelling around for work, say, you still need to think about what kind of holiday you want.
Briefly, a caravan is good if you know more or less where you want to go - ie, you don't plan to make lots of stops or just pull in somewhere because you like the look of it. You have to plan your trips a bit more, because stopping is harder and there will be more roads you can't go down with a caravan (though this also applies to a very large motorhome). A big advantage is that when you arrive you have a car to use - and the inside of a caravan is usually very comfortable, with more space because you don't have a cab.
A motorhome is easier to drive and you have more flexibility. Of course you don't have a car when you arrive, but a lot of people take a bike or small motorbike instead.