Data analysis in Stata may be carried out by interactive mode using the Command window, by using the drop down menu, or by executing a set of Stata commands written in a do-file. It is most likely that you will be using a combination of these rather than using one method exclusively. Making use of the command window or GUI interface are ways to easily get acquainted with Stata.
Using Stata interactively allows you to use Stata on the fly by submitting a command line in the Command window or clicking options from the drop down menu. You can load, explore, manage, and analyse your data in this manner. Clicking away is particularly useful if you do not know the command; and typing away is convenient particularly in the early part of analysis when you are in the process of getting to know your data or when you are just figuring out what to do.
The drawback, however, is that what you do interactively is lost when you exit Stata. You may have saved your output (a table or a chart) but the process from which it resulted is gone and replicating or modifying your work may prove difficult and often impossible. Also, it will be difficult to audit your work.
The advice to keep an organized, self-explanatory record (a do-file or a set of do-files) of the processes you have been through throughout your work—from loading your data to cleaning it to producing tables and charts—cannot be overemphasized. Easier said than done.