All else being equal, I want an exit wound.
That said, all else is not usually equal.
I can shoot a 25 grain Hornady bullet from my .17 Rem at 4000 feet per second. I can shoot a 25 grain Berger match bullet at the same speed.
The Hornady will usually exit a broadside coyote, yet the Berger seldom exits. If I'm saving hides, I don't want an exit. They kill equally well from what I've seen and experienced.
Energy doesn't kill anything, but a high velocity bullet that fragments inside of the vitals is a very effective killer of animals. Such fragmentation causes massive trauma when it happens in the right place.
I regularly shoot a 7mm Rem Mag on a lot of big game animals. I shoot (almost exclusively) 145 grain bullets from it. Those 145 grain bullets will exit a deer every time, and said deer drops in it's tracks pretty much every time as well.
On elk, I sometimes get an exit, depending on the distance and angle of the shot. From what I've seen, whether it exits or not has little to do with the bullet's effectiveness. The only real difference is the increased blood trail if the animal runs a short distance before it becomes "dead forever".
I've also shot buffalo with the same bullet and load, and they almost never exit. I've never had one live more than about 2-3 seconds after being shot, and most died quicker than that. While the bullet usually won't exit, it does pass through the vitals and into the far shoulder and/or ribs. The last one I shot, the bullet went in behind the close side shoulder and into the far side shoulder. That buffalo weighed around 1000 lbs, and lived long enough to swap ends, shudder slightly, and fall dead. It was on the ground in less time than it took me to cycle the bolt
Given a choice, I'll take the exit on big game to increase the blood trail in case it's needed. That said, it's been a rare occasion for me that I actually needed it.
I usually hit 'em right, and they fall dead quick.
Daryl