I personally did both over the course of my career. One thing to keep in mind if you do invest in TSP (well, a couple). First, and monies you contribute while covered under CZTE is always non-taxable, except for your earnings. Once you leave the service, you may have difficulties rolling those funds into an employer's retirement plan or IRA.
Second, when you leave the service and roll your TSP into an IRA, you can roll them into a traditional IRA with no tax assessment; if you roll into a Roth IRA, you may have a tax debt.