It really will depend on your threat model.
SMS may be easier to sniff, or to be intercepted by an malicious app on your phone. So if you are worried about those kind of attack, it may be the better to use the call option.
However, most phones will not require a device unlock to accept a call, so if you leave your phone unattended, ex on your desk, (or it is stolen) one could use it to get a code, while for an SMS you could lock it. Of course most people nowadays never leave the smartphone unattended, but this is only an example on how defining the threat model is important.
For me, as a SECOND authenticator factor, if I cant choose an OTP generator like Google Authenticator, I use SMS for the sake of not needing to answer calls, that is not always convenient, and also because I do not see SMS sniffing as a real possibility in my usage cases.
However, as pointed out on the comments by @cornelinux, Google authenticator is vulnerable to certain attacks on the "secret agreement" phase, so again: define and check your threat model.