I had to choose river sailing. I usually sail on the river, and even though it sucks it can really pay off. In competitions (on the ocean) where there is very little wind and/or it is really shifty and fluky all of us river sailors completely wipe the board with the other competitors.
I tend to sail on the ocean as well though for some heavier wind practice.
I personally don't care where i'm sailing as long as I'm sailing. All of the venues provide different things to take advantage of. Ocean sailing usually involves handling relatively steady seabreezes and swell, and possibly an uneven, changing current. Lakes usually have shifty breezes, no current, and chop (if it's a big lake). Rivers have shifty winds like lakes but have a uniform current and possibly chop.