The rec.running consensus on treadmills is that you need to set them at 1-2% incline to compensate for air resistance being absent.
Running outdoors will help you "feel" your pace better, if you are interested in doing a 5k, 10k, marathon etc.
If you have the right shoes running outside should be fine. The wrong shoes will give you shin splints inside or outside (ouch, I know this!). Remember, if you run in the dark, wear a reflective vest over your gear, and if it's cold, don't run in cotton shirt only, as cotton dissipates heat when wet and will make you very cold, try some of the higher-tech drifit stuff....