Being a guy, I like plugs because I can massage my pspot hands free, which is nice. Probes are cool though because I can direct the pressure exactly as I want... but the catch is that I have to think about it which adds a barrier to fully letting go.
I'm partial to plugs for the convenience factor, and I'm a big fan of wearing them out and about. I'd never say no to some probe play when delivery is offered, but for solo play, I'm generally a plug guy.
I agree with everyone above, although you didn't mention what purpose you're choosing the toy for, plugs are more for stretching and extended wear (as folks have said) but probes are excellent fun (especially vibrating ones!) and optimal for masturbation and if girthy enough (which some are) they're also great for getting the anal muscles used to larger objects being thrusted in and out (which helps to eventually prepare for anal sex)