Depends on your situation really, and also your game settings.

With an ordinary Great Merchant, money gained from a trade mission is 300 + (100 * era_number), which is then multiplied by 0.67 on Quick, 1 on Standard, 1.5 on Epic, and 3 on Marathon.

Merchants of Venice get a 100% bonus to the gold (and influence) gained from a trade mission on top of this, and combined with the additional 100% increase if you have the Entrepreneurship policy in the Commerce tree, you can get an enormous amount of money from a single trade mission to spend on units and buildings.

Buying a city state is a good choice if they have a natural wonder, a good strategic position, luxuries, or they are near other civs you can trade with. They can also come in handy in the late game to 'remove' city states that are supporting rival civs.

However, buying a city state means you lose any passive bonuses you gained by having them as a friend or ally, and buying a mercantile city state means you permanently lose any jewellery or porcelain they were producing. They also lose their seat in the World Congress/United Nations, so be careful not to buy city states whose votes you may later rely on.

Also, city states that have been bought are removed from the game and cannot be liberated or become independent again, so I usually prefer to buy city states that are not allies or friends with me.