This is an excellent question, as any source you use will have strengths and limitations.
Primary sources, which are generally understood to be eyewitness accounts of an event or the original document in question (e.g., the novel Middlemarch rather than a book about Middlemarch), have a great deal of authority. A person who actually witnessed the bombing of Berlin can comment on the experience in way no one who was not there can replicate. Likewise, a quote from Middlemarch in support of a thesis most often has more authority than a quote by critic interpreting Middlemarch (since even the best critic can get details wrong).
At the same time, primary sources can be limiting because they lack the perspective that comes with a more detached view of an event. A person who comes out of an air-raid shelter to see a hotel and a block of cars in flames can give a very vivid and emotionally compelling account of what she sees, but she probably does not know how many planes flew on the raid that night and cannot know, while feeling this particular night is the end of the world, that a worse bombing will occur nine months later.
Therefore, secondary sources—secondhand accounts of an event that amass a group of primary sources and research into statistics and the drier aspects of an occurrence—are also very important. Especially when a good deal of time has passed since the event, they can make an event intelligible in a way primary sources cannot. Their problem is that they are derivative: an extra layer of consciousness is sifting through the evidence and providing a framework that may or may not be distorted.
No one source can offer both an up-close and emotional reaction to an event and a detached and analytic look from afar. That is why it is important to look at as many sources as possible when doing research, both primary and secondary. When possible, go back to primary sources, as secondary sources can and do get things wrong, but also use the secondary sources to give yourself a broader context for what you are researching.