For many years, for desktop users making choice of their VPN protocol was more or less obvious - it was OpenVPN. The OpenVPN has been considered the time-tested choice, even more strongly so since Edward Snowden's leaked documents showed that a properly configured OpenVPN is safe and the NSA cannot push through it.
However, on September 2019 the first stable release of WireGuard appeared. It is an entirely new VPN protocol built with speed, lightness and simplicity in mind. And it has delivered the promise. Various real world tests have shown WireGuard to be considerably faster than OpenVPN - from 13% up to 50% increase in speed depending on circumstances. WireGuard is clearly the choice for faster connections.
What about security? The cryptography industry is cautious when considering and endorsing new technologies. The battle tested code of OpenVPN protocol is known to be secure and the go-to protocol for years. This, however, was taken into account when developing WireGuard. Creating a complex code would most likely get WireGuard nowhere, as it would require difficult security auditing. That is why WireGuard was built with simplicity in mind, making it relatively easy to audit. It consists of roughtly 4000 lines of code compared to its competitor OpenVPN!
This comes with certain disadvantages too - you are forced to stick with a limited choice of ciphers, when OpenVPN lets you choose from a wide range of ciphers. One may argue, that a larger choice of ciphers comes more complexity and more importantly - larger attack surface.
Which one is better? If you are in an area where VPN is banned and you may get prosecuted for using it, we recommend you to go to the safe side - OpenVPN. If you are looking for the better speeds, lower bandwidth - WireGuard is for you!