I have done projects using both. If you are from a non-electronics branch then I'll suggest using Arduino first. it is a simple microcontroller and you can make several projects just by exploring the documentation. The programming used is basically the C alike. you can work on windows or Linux it has its own IDE so where ever you prefer.
As of RPi, it's more complex than Arduino, it is basically a small computer in layman terms and runs on Linux. so if you want to learn Linux as well it's a good to go. Projects on Rpi are of infinite potential and are regarded as major projects in all areas. you can control basic stuff like LED's and motors or work with sensors or do complex stuff like Internet of things and automations etc.
All arduino projects can be done using Rpi but not the other way around.