I enjoy both personally, for long distance shooting I like steel, but for the sake of practicing accuracy and actualy marksmanship, I'll shoot at paper. I'm not the greatest shot, not by any stretch of the mean, but I think it's a point of pride to be able to consistantly hit a paper target with open sights at 100+yrds off hand. To make it challenging, I like to shoot in odd positions and from different stances at varying distances.
I typically do this while out in the desert where I setup my little "rat house" style shooting run, moving from target to target seeing how well I can place my shots when the adrenalines pumping and the hands are still shaking.
For range time, off the bench, I really enjoy shooting steel though.