It depends on your fitness level. Body weights are preferable as it's easier to perform - but there are also other body weight exercises which are difficult to perform as well. So choose accordingly.
For example - As a beginner, you can start with body weight squats and slowly advance to variations using dumbbells and then using barbells.
Now there can be few exercises where you can be comfortable using weights as a beginner - so in those cases you can go ahead with weights.
As a beginner your focus should be on the form and to learn various movements.
Body weight movements will help in achieving proper form and warm up .you can start with minimal weights and you will improve lifting heavy over a period of time.
No hard and fast rule as such. The downside of body weight exercises is you can't reduce or increase it. Body weight squats are easier than weighted squats. Push ups might be more difficult than low weight chest press for a beginner. Lat pull down might be possible for a beginner while pull up may not be