The car, mostly because you can use the heater. You will want to make sure that the exhaust is clear to avoid carbon monoxide poisoning and only run it for a short periods at a time. This also helps keep the engine warm, as it is much harder to start an engine when it is really cold out.
If the the engine quit working, like say you hit the oil pan and froze up, you will still want to stay inside, since the car is already warm as opposed to setting up the tent and then having to try and warm it up with body heat and candles.
Also, the car will be dry inside, while the outside may have snow and ice since its winter.
Going outside to set up the tent will expose you to more cold than simply remaining in the vehicle.
Your vehicle will also be more visible and most people would assume that is where you are. If you were camping in the woods, they might assume that you had hitchhiked out of the situation.
One last note, from personally having slept in vehicles below freezing before, be prepared to scrape frost off both the outside and inside of the windows.
If you’re stuck in your car and immobile, first, call for help. Don’t overexert yourself and don’t leave your car and begin walking for help. Typically, you have a better chance of being found if you remain with your car, which may also provide the best shelter from the elements.
Instead, be sure the exhaust pipe is free from snow and roll down a window enough to vent the car and prevent carbon monoxide buildup. Run the car for short 15-20 minute intervals to warm up and then turn it back off, using blankets, a sleeping bag, hand warmers and the body heat of others in your car to stay warm.
If your car starts and has fuel, use it for heat. Cover the bonnet so that as little heat as possible is wasted - but always make sure that the exhaust is clear. Note: Do not go to sleep with the engine running.