The first aspect to reconsider is how much you want to invest in building of a new space. A simple pergola with a canopy is, understandably, a more cost-effective option than a fully glazed winter garden that must meet strict criteria for perfect insulation against weather influences. On the other hand, a higher investment in a winter garden may pay off in the long run - you will increase the living space that you can use year-round, and the value of your property will increase significantly more than with a pergola that has only seasonal use.
Utilization
The previous paragraph already hinted at another important factor in the selection - how and when you want to use your new space. If your goal is to create a space where you can sit comfortably with friends or family during summer barbecues, a pergola should be a sufficient solution to your needs. However, if you want to turn your terrace into a fully functional living space that you can use as a relaxation area or dining room even during rainy days in late autumn, a winter garden is a clear choice. Last but not least, don't forget the use of a winter garden, which is derived from its name - namely, year-round cultivation of decorative or utility plants.
Aesthetics
The most significant difference in terms of aesthetics is the distinction between an open and closed space. A pergola with an undisturbed view accompanied by a cool summer breeze undoubtedly has its charm, and an open space visually breathes more and may appear larger. Thanks to modern glazing systems, you can achieve this effect even with a winter garden today. Frameless systems ensure an undisturbed view, and sliding opening systems allow you to almost completely open your garden and transform it into an outdoor space.
Keep Your Options Open!
If you still can't decide whether a pergola will suffice or if you desire a closed winter garden, there is a middle ground that leaves the door open to both options - choose a pergola structure that allows for subsequent glazing and conversion into a winter garden. This way, you can try whether your new space will be enough for the summer season alone, or if you can't imagine life without it even after it ends. Undoubtedly, the advantage of this solution is also the division of the investment into two smaller parts.