Really, it depends on your environment. In Smalltalk, most things are objects. Not surprisingly, it turns out to be easiest to make most things objects. I find that Smalltalk is best when a program is mostly objects, there's a sprinkling of short-ish procedural methods whose workings are hidden by encapsulation, and perhaps a handful of long optimized algorithmic methods.

I suspect that in Self, it's easier to make more things objects. (jk - everything is an object in Self.) Objects aren't quite as easy to use in C++ and Java. The cost is higher, so the opportunities to use objects with a good cost/benefit payoff are fewer. That's all there is to it.

Does this generalize? In most Functional languages, functions are really easy to use, and can be used in flexible and powerful ways. What's the best way to program in them? Why, using functions! Yup, seems to work. Fancy that!