I've played a lot of role playing games over the years. Ran a couple as well. One of the things that usually sticks with me is the different styles of GMing and how they affect the game as a whole.
Running a game takes a lot of time and patience. And a certain skill of pulling something out of your butt when the characters do something you weren't expecting. To help mitigate that, a lot of GMs turn to preprinted modules or a very open, sandbox world. There are pros and cons to both.
Modules
Pros
Less prep time. This is the big reason I've heard for people to use them. Other than reading the module ahead of time, there is no need to come up with monsters or story yourself.
This is great if you're just beginning and don't know how to balance fights and story.
Cons
If your players go off track, you have to wrangle them back on track to follow the module.
Fights are not always balanced. I've had plenty of times where something should be a tough but doable fight for level 5, but it kills a level 6 group because it is overpowered.
Your players may have already read the module. This has happened more than once where the player knows out of character knowledge and uses it in game because they read everything ahead of time.
Sandbox
Pros
Your players can go anywhere and do anything they want.
Beyond the initial set up, there really isn't much prep needed before each session.
Cons
Your players can do anything they want and go anywhere. This can lead to games stalling out due to analysis paralysis. Too many things to do and nothing that seems immediate.
Huge investment of time up front. Unless you are completely running by the seat of your pants, you need to seed your world with a ton of rumors and plot thread for your players to find and play with.
I usually like to play in a game where it's somewhere in between. There are plot thread where we can go off on a tangent, but there's some main quest we need to accomplish in short order.
The trick to running any good game is to find the sweet spot of your running style. Maybe use a module to have an idea for a session or two, but in a sandbox world where the players can go off book. It's really up to you.
Have fun, play a lot! What's your favorite play style? Let me know!