To be fair, both are bad for you. (I've done both, so I know that quite well.) Both habits are quite expensive, and both of them are bad for the body. Alcohol affects people's judgment more than cigarettes, because cigarette smoking doesn't cause aggression or violent crime much, whereas there's almost an epidemic level of drunken violence. Plus the impairment of the body while under effect of alcohol leads to some very stupid decisions. (i.e. drunk-driving, fighting, loss of social judgment etc.)
However, bodily-wise, cigarette smoking is by far the worse thing to do. There are more carcinogens in cigarette smoking, as well as a lot of gunk that would shock or amaze people if they read up on it. (Much less gunk in rolling tobacco as opposed to tailored cigarettes. Tailored cigarettes have a fair bit of stuff in them to keep them alight, whereas rolling tobacco does not.) Plus, nicotine isn't your friendliest amine of the bunch.
I'd probably say alcohol over-all, as the social implications of alcohol aren't conatined or restricted nearly as much as cigarette smoking.