That’ll depend on the nature of your lawsuit. Whether or not it involves a jury, and what is at stake in your case. It’s the kind of decision that gets made case by case. There is no blanket answer.
But the factors that you should be considering, particularly if you’re the plaintiff suing in a commercial case, is, “Do I want to have a jury decide my case or the judge?” Federal Court juries will be better educated and more sophisticated. State Court juries will be less so. So the quality of who you want on your jury would be a large part of deciding what kind of forum you want to sue in.
Additionally, a major difference between State and Federal courts is that in Federal Court, it is far easier to win a case on summary judgment, meaning you end the case early without a jury than it is in State Court. If you have a case that you think will lend itself to summary judgment, and you can sue in Federal Court, then Federal Court is the way to go.
Thirdly, and this is different than it used to be. But, the State Courts are so crowded that the cases can easily linger for 2-3 years. The Federal Courts move cases quickly. Most Federal Court cases will be over within a year to 15 months. So the quickness with which you need a result should be a factor in where you decide to sue.