There is no reason to shy away from either one. True, you may have to think a little about how you use both of them instead of mindlessly running water all day or tossing things down the toilet that really shouldn't go there even in a municipal sewer, but once you know what to do and not do, it's easy.
Having a well for the last 13 years has worked out much cheaper for me. I had a new deep well, pump, water line, and pressure tank put in in 2007, that was $10,000. $8,000 was for drilling the hole; that is an expense I should never have again. The bills for the rural water system I was on before, for the same period, would have been $18,200 even if they hadn't raised the rates in the meantime.
I prefer being on a well. No one can tell me I can only water my garden or wash my car on Tuesday, Friday, and Sunday all summer. If I run the well dry, that's my problem. And I like the water better than the system I was on before. If the power goes out I can't run the water because I don't have a generator, but so far that has only been an occasional and very temporary event. I keep a little water stored so I can at least flush the toilet a few times.
Septic systems require occasional pumping out. If you do the right things with it, that won't need to happen often and it isn't expensive anyway . Many people treat toilets and drains as all-purpose disposals. They are not. If you mistreat your septic system by putting the wrong things in it, it will cost you directly out of your pocket to deal with it instead of the costs of it coming out of a general municipal budget.
If you get serious enough to make an offer on a property with a septic system, make it a condition of the sale that the system be inspected by a pro and that you're happy with its condition. It wouldn't hurt to do the same for the well, or at least find out how deep it is, its rate of flow, and if the water is drinkable.