Live USB or install to USB?

I want to get away from Windows and want to use Trisquel beside Windows, on the same laptop, without installing it to my hard-disk.
I have a fast USB 3.0 stick with 32 GB of space.

Is it better to install Trisquel to a USB stick or is it better to use the Live version?
What is the difference? What is better?
For example: If I use the Live version the USB stick, it will automatically choose Fat32 as filesystem. But isn't it better to use ext2 on USB sticks?