I love to do both.
Being a GM and creating various worlds for people to shape and explore with their stories is something really fun to do, but I always find myself wanting to be a part of the worlds I build. Similarly, as much as I love world building and seine my own creations develop, I like to experience other peoples' concepts also.
Some people might think that GMing an RP you are in might cause you to be biased towards your own character, but this sort of thing really isn't that hard to avoid.