Cheap diesels will usually work okay. Cheap steam? Not so much. Because of all the cranks and rods and stuff, there's a lot that has to go right for a steamer to run properly, and that's assuming a good quality motor/pickups/etc. Diesels are harder to screw up (not that it isn't done). To my experience, steam tends to be pricier.
As mentioned above, diesels are much more forgiving of iffy track. Long-wheelbase steamers don't like corners, grade easements, turnouts... if you love big steam, you'll need to design your trackwork accordingly. Smaller steamers do better, but not as well as a little four-axle diesel. Diesels also tend to haul more, just because they get better traction (their configuration sticks to the track better, and they're easier to add weight to).
DCC can be a challenge with both, but moreso I think with steam, as you've usually got to put the decoder in the tender and run a cable between the two. DCC ready/equipped engines aren't much more difficult, but old school models can be a challenge.
Despite their shortcomings, steam engines are great fun to watch. There are some really nice prototypes for either... just look around, see what turns you on.
You don't have to stick to just one, either, a lot of people do transition era (steam to diesel), and I plan to do mostly diesel with a steamer or two as excursion trains.
