I do both. I'm thinking most who forge also do stock removal, as they don't forge knives to their finished state.
One of the reasons I LOVE knifemaking is there's so many different avenues to go down. So many different types of blades to make. So many different techniques to be used.
I find forging to be less limiting in some regards. It also has the potential to not be as wasteful of material. For instance, I'm making an integral knife right now from a round bar. That wouldn't be possible with stock removal. I'd have to start with a huge piece of blade stock and grind half of it away.
I like that you can do forge welding and elaborate pattern welds with forging. You can forge weld stainless, like with San Mai, but it's a real PITA.
Also, it's light years faster to heat treat simple carbon steels in a forge than using my kiln to do high alloyed steels. I can pretty much turn the forge on, set the quench oil on the hot plate, go inside and set the oven to preheat to 400f(for temper), go back to the forge and harden the blade, and then be back into the kitchen at about the same time as the oven finishes preheating.
Long story short, DO BOTH. Don't be intimidated by potential failure. The worst that can happen is you ruin a cheap piece of high carbon steel. Also, don't feel like you need an expensive anvil or forge to get the job done. Put a piece of railroad track on it's end(vertically) and make a simple two brick forge with a leaf burner. A lot of folks over look the reality of the situation by thinking they need an anvil with a hardened face. Is that a nice thing to have? Sure. But when steel is at forging temp it's a LOT softer than what you're gonna be hammering it on. Even if it's a $40 harbor freight anvil.
(Don't take that as me endorsing those Harbor Freight anvils.)