Choosing between a nonstop flight at an awkward time and a connection at a comfortable time

The nonstop flight leaves at an inconvenient hour and gets us in exhausted. The connecting itinerary has civilized departure and arrival times, but a relatively short transfer in an airport we don't know. The price difference is modest. After missing one connection years ago, I may be overpricing that risk. Which would you choose for a trip where losing the first evening would be annoying but not disastrous? I'm trying to weigh real door-to-door fatigue, not just time in the air.