I much prefer outdoors and I'd be inclined to say it's probably better for your fitness as well. Try running 3 miles on a treadmill and running 3 miles for real and see which feels harder!
Also on a treadmill, you're not working as hard to actually move your weight forward, as you tend to leave your weight static on the back foot and then transfer it to the front, letting the treadmill do some of the actual moving. Does that make sense, I don't think I explained too well!?
On another note, outdoor running serves to better your stabilising muscles around the joints, etc a lot better than a treadmill. Think of all the small variations in surface angle, grip, etc that you encounter on an outdoors run as compared to a nice smooth unvarying treadmill.
I personally live in a horrible place, all my running has to be on the footpaths alongside main roads, breathing in the diesel fumes and dodging the insults and objects thrown by the local yobs.
