Both have their place in a workout, but the nice things about "free weights" -- dumbbells and barbells and such is that they are a real weight. Meaning, there are no cables or cords to help support the weight.
In addition, since there are no stabilizing supports on freeweights you have to use other muscles to do the exercise. For instance, doing a bicep curl with a dumbbell calls into play not only your bicep / forearm, but you delts, abs and lower back. The preacher curl machine, however, it focuses mostly on your bicep.
The machines are great, especially for beginners or those want to focus in on a muscle group. However, for maximum growth and results, you should hit the free weights. Just make sure your form is spot-on though.
You may find it helpful to get a magazine or two of Muscle and Fitness so you can educate yourself further about the do's and don'ts in the gym world.
Good luck.