swertel, I've been using SE a long time, many years. I was trained on it before I used SW. When I first got to SW, I found it much nicer.
The fact that you're all saying I don't use the right workflow proves my point. In SE, you are forced to use their workflow rather than the one you're most comfortable with..
The reason I create a sketch first, is because If you select protrusion, and sketch within it, it swallows the sketch and you can't access it again to use it for another feature. In SW, the sketch becomes a sub feature of the protrusion and can then be used to make other features. Either way, SE is much more prone to forcing you to do things exactly the way it wants instead of letting you choose.
Here's another example:
You are making a sketch, and you want to make two lines colinear. In SW, you can either select both lines, then press the colinear button, or press the colinear button, then select both lines. In SE, you have to press the button then select the lines. This is a very small example, but it's consistent across the program and makes it very frustrating after a while. Personally, just habit, I like to select the lines first then hit colinear, but I don't get that option. Same goes when creating a sketch, you can't select a plane, then click the "create a sketch" button, you are forced to hit the button, then select the plane.
I realise these sound like small nit picky things, but it's an entire pattern. You are forced to go in a specific order to do these things in SE whereas SW gives you more freedom to do the work in a manner that suits you personally.
A lot of people don't mind this and those trained on SE who never use SW probably would never have a problem with it, but it really bugs me and I thought the asker might like to know in case that would bug him too.