I would have to say an ATV, however, Ive never owned a sled. I was torn between the two when I bought my ATV in December. My main use was going to be for ice fishing, and I ultimately decided on the ATV. The main reason was I could use the ATV all year round.
Since I bought it Ive been out on a couple of trails, ripped round the garden a few times with the kids, plowed the driveway countless times, and been ice fishing a couple of times.
So far Ive had far more use out of it with things that I didn't intend!
This winter has been great for sledding, or so Ive heard, but at the same time, last year all I heard was people complaining about how bad the winter was for sledding!
For me buying a sled was awfully expensive if I could only use it a couple of months out of the year!