To be honest, I prefer a mix of both. Station shots can be interesting, especially as they allow you to get a lower angle on the train sometimes, or with extra features of the station providing interest.
However, lineside locations are usually more attractive to look at, but alas are harder to get to! Although there are no station staff to bug you, you're more likely to get bricked/knifed/egged than you are at a staffed station. Safety in numbers of course.