It depends on the story being told. For a ghost story, short is always better; a chilling tale to be told/read by firelight should be completable in one sitting. For fantasy, I think that I much prefer longer stories, even spread over several books (but not too many); I think that historically fantasy was sagas, or series of adventures for the hero(s), and that is how I prefer it.
For scifi, some of the greatest stories are short ones (in particular I use to love the 'Amazing Stories' etc comicbooks), the short scifi stories told in the tv shows The Twilight Zone and Outer Limits are fantastic, and there are/were a number of great authors able to cram a universe of adventure into a short story.
I think I will opt for novellas of less than 150 pages.