That’s a personal call, but there are several considerations that you may find important.
First, if you are under the FERS retirement system, you will get matching contributions on your investments in the TSP dollar-for-dollar on the first 3 percent of salary you invest and 50 cents on the dollar for the next two percentage points (you get an automatic 1 percent contribution regardless of whether you invest personal money). That means you get an instant 100 percent return on the first three percent and an instant 50 percent return on the second two percent, money that will continue to grow tax-free. That is a strong argument for investing in the TSP first, at least up to 5 percent of salary. That is not a consideration if you are under CSRS, however, since you get no government contributions.
Further, if you want to make Roth-style investments and you are a higher-income individual (or married couple, if filing jointly), your only choice may be the TSP. Roth-style IRAs are available to persons who have employer-sponsored retirement savings plans (such as FERS and CSRS) only below certain income limits. The TSP allows Roth investing regardless of income.