Dependant on the fastening of the stud - a stud can be more secure (it depends on the fastening) A sleeper is still secure but if it is the loop style a sleeper can catch in hair or clothing and hurt.
The trick is to keep the newly formed hole really clean both sides for a good time with surgical spirits / cotton bud (from a chemist)
The stud hole is also usually a bit wider diameter so makes it easier then for sleeper style earrings. If you go back to a wider diameter stud after a sleeper it can be a bit painful (but only for a short time) as you get the wider stud diameter back through the hole.
Finally some studs have a pointed end which can make life easier initially finding the burrow hole through the ear lobe - it can all be a bit hit and miss when you first start finding the piercing hole when changing ear jewellery.