Rough lumber will absorb more stain due to the increase in exposed wood fibers. Your initial up front cost will be higher but it will add durability and longevity to your project.
Smooth lumber has less open fibers so the stain will not absorb as much. It is highly recommended you sand all surfaces with 50-60 grit to open up the fibers. Whether you’re staining rough or smooth lumber, it comes down to the look you are trying to achieve. Rough is usually more of a rustic look, where as smooth is a modern sleek look.
Now where to use your rough vs. smooth lumber is completely up to you, however; something to be mindful of is to use smooth faced products in areas that need to be cleaned, where there is less chance for spider webs and other outside debris to attach itself to.