With a forge (combined with an anvil) you can make all your dreams come true. Imagine something in metal, throw it in there and hammer it to shape. I love, love, love forging.
A kiln, however, will give you more precise control of temperature for heat treating. Good idea to have both. Someday I will.. but as long as I stick to my simple 10xx steels, my forge will do okay.
A forge is also cheaper and a little easier to make yourself I would expect.