The difference is that in UD you can potentially get a weapon (bone knives), a full armor set AND a pickaxe. Not to mention potentially finding Ancient Chisel and Magic Conch too. And honestly UD isn't as hard as you're making it out to be, it's more slow-paced than dangerous at times. As long as you take it slowly and kill enemies one by one you won't have to worry about much. Only Tomb crawlers are a major threat.
Materials for platinum and gold pickaxes can be foound in underground ice and jungle too. (same as fossil pick, insignificantly slower)
Bone knives are worse than snowball cannon, and significantly worse than boomstick.
Boomstick without fossil armor is better in DPS than bone knives with fossil armor. So, using jungle armor + boomstick you have both a great ranged weapon and good magic potential.
Ancient chisel / conch are useful, but:
- feral claws, anklet of the wind, snapthorn, thorn chakram
- Flinx staff, ice skates, fur coat, snowball cannon
Ice blade is also better than storm spear
In both ice and jungle you can find materials for Diamond/Ruby staff (to counterargue Amber Staffs presence)
Overall, in terms of loot, doubtlessly – jungle and snow win. And Flinx staff makes UD/jungle exploration so much easier that I persanally prefer that as the first weapon, plus snowball cannon. Then I'd go in the jungle.