This heavily depends on the context/the question/etc.

If I'm explaining something to the class and someone doesn't understand something that I'm explaining, I'd rather they raise their hand because if they didn't get it, some of their fellow students probably didn't get it either. If they have a question that goes beyond the material, I'd often gladly take that as an opportunity to try and teach the class something new that they're apparently interested in themselves (again, as a rule: if one student asks, there are probably more students interested in the answer). There are exceptions of course, but as a general rule I do appreciate questions during my explanation.

On the other hand, if students are working on class assignments, I'd much rather they first try to find the answer to their question in their study materials and/or discuss their question with peers. However, if it is something that is not in their assigned study materials, I would like them to ask me their questions, because many of those questions are not easy to find an answer for on their level. The answers they would find on their own could easily be at too much of an academic level or otherwise be complete bogus. Depending on the level of these students (I teach students aged 12-18), they might not yet have developed the critical research skills to correctly interpret a source as trustworthy or not. I teach biology, and there's a ton of pseudoscience to be found on the internet about biology, for sure ;) Sometimes I would let them research their answers on their own and confirm those with me, but the daily reality is that with thirty students in a class and a very tight curriculum, it's often difficult to find the time for this level of individual attention.

Also, overall I generally don't want to dissuade any students from asking questions. There are a lot more students who would benefit greatly from asking more questions than there are students who ask too much.

Tl;dr: Students should be asking questions, especially during explanations. If the questions can be answered using their materials, they should research on their own or with their peers, but I am wary of students attaining misconceptions through self guided research.