It depends on the sound I'm trying to create ;). Pragmatically, it also depends upon the availability of a quiet, reflection-free outdoor spot vs. a foley studio — both of which can be hard to find (or afford).
A project that calls for a more stylized foley track might best be served by a foley studio with an enormous assortment of props, shoes, pits, cloth, etc. Some of the magic of movies like the Lord of the Rings series came in the incredible detail and sense of heightened-reality in the foley track, with swords and armor that produced huge impact sounds in battle, to the delicate sound of parchment pages in the old books.
For a project like True Grit, which takes place primarily outdoors in desert and forest landscapes, I would hit the field to create a realistic, gritty (pun intented) foley landscape. The advantage of recording in the field, to me, lies in the accidents that happen and the sounds that you stumble upon. With a prime location, good micing technique, and a little luck, you can get field recordings that sound so clean that you'd never know they weren't done indoors. Plus, with a fully-charged ipad you can still record a foley performance to the film.
Field foley definitely works better for louder sounds, too — I would probably not record my cloth tracks in the field, but footsteps work fine. If you're not hiking too far, it can't hurt to have a couple mic stands and some thick blankets to help with outside noise and any reflections.