Depends on the details. In general a water bath with a sufficient reservoir could dampen temperature changes better but can't be turned up or down as quickly It can have at the site footprints much better than a dry load although the support hardware will likely be generally larger the actual thermal interface is much much smaller for peltier cooling or air cooling with a static heat sink. There is less advantage in heating as heating elements don't have to be large and are inherently 100% efficient.