The accuracy in determining the quantum state of a system depends on the type of measurement performed. Homodyne and heterodyne detection are the two main schemes in continuous-variable quantum information. The former leads to a direct reconstruction of the Wigner function of the state, whereas the latter samples its Husimi Q function. We experimentally demonstrate that heterodyne detection outperforms homodyne detection for almost all Gaussian states, the details of which depend on the squeezing strength and thermal noise.