I have done both. My last new bike off the showroom was a 2014 BMW F800GSA. My last purchase was private sale.
Right now, I don't know if I will buy new again. My used bike came all ready setup. Even the ergos were perfect. So far the only other bike I have gotten on new that was near perfect fit for me off the showroom floor is the Africa Twin Adventure Sport.
A dealer will always have some markup on the bike. A good dealer would have gone through the used bike and done a safety check, change the oil, fixed any issues before putting it out for sale. They may even give you a 30 day warranty.
I look at all options!