There are a lot of qualifiers, but in general, I would recommend college accommodation if you are new to Oxford and have no friends already there. All is not lost if you live out, as in both cases, you'll be able to access your college's MCR (graduate common room) - which will organise social events - and Hall, where you will socialise over meals. And if you are on a taught course, you'll meet your colleagues at lectures. In addition, Oxford is very compact - a 15 minute bike ride will take you anywhere. The main difference will be that if you are living on-site, or in a college grad house, you'll be seeing and running into each other every day without having to make the effort to go into your college or department, so its easy to share a coffee, or organise something spontaneously.