The two options you are suggesting are very different. But there may be a third that you are not thinking of. To understand this, you need to understand that there are three components at play here, but these components may often be combined into a single device. These three components are controller, synthesizer, and monitor.
The controller is your keyboard. It is generating note-on and note-off electronic signals. The controller does not make any sound on its own.
The synthesizer is what turns those signals into a sound waveform. If your keyboard has a headphone jack or audio out ports, then it has a built-in synthesizer. If you are sending MIDI data to your computer (MIDI DATA IS NOT SOUND), then the computer must do the synthesis. The quality of the synthesizer will largely determine the quality of the sound that you will be hearing. You could spend thousands of dollars on an extremely realistic computer-based synthesizer, but in lieu of that, it's highly likely that your keyboard's built-in synth is of higher quality than free options you may have on your computer.
The monitors are whatever you are using to listen to the sound as pressure waves traveling through the air. The speakers that are built-in to your computer, your Hi-fi system, a pair of headphones... all could be considered monitors. The difference will be in sound quality and isolation.
So, to your question, in an ideal scenario, you want the highest-quality monitors that you can get your hands on, and you'd want a way to play sound through them whether it is being generated by your computer, a CD player, tape deck, or keyboard's built-in synthesizer.
If you already own a nice pair of hi-fi speakers, you might try looking into using a mixer to send multiple sound sources through those speakers at once--your computer audio as well as your keyboard's built-in synth.