Both methods seem to work fine. I have tried everything from working a muscle once per week to three times per week. There really is no right or wrong answer, as many people make a lot of progress via both routes.
I feel that strength wise I improve most using a higher frequency training routine. Mass seems to come with pretty much any routine as long as I eat enough. Not to mention, I just prefer full body routines for the enjoyment factor.
I don't know how new you are to lifting, but you just have to play around with different protocols and splits to find out what you enjoy the most and what produces the most results.
If I do a split routine, then push-pull-legs is my favorite by far.
The only time it's bad to feel the burn is when you're peeing...
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