The answer really depends on the aircraft and the powerplant, and the circumstances. No matter what you're doing, if you're flying visually, once the engine starts running rough isn't the time to start deciding when and where to go. What to do is decided before you ever strap in for the flight, and where to go is a second-by-second decision you make every moment of the flight.
The year before last I experienced a rough engine in a single engine tailwheel airplane at about 300 AGL over a heavily wooded mountain forest area. I took steps to ensure the engine was running; made sure it had every chance to have fuel and spark by verifying the ignitors were on and the fuel boost pump was on. I pushed the speed lever (for that engine) up, and prepared to make a forced landing. the engine was surging badly, from idle to about 75% power. I followed a road off the mountain, keeping it under me until I reached a rural airport about ten miles away, where I landed.
About three months later I experienced another power loss in a similiar airplane at about 150' as I exited the bottom of a steep canyon, and made a forced landing on a hillside.
Be prepared, but do that preparation before you ever leave the ground. Then use that preparation every moment of every flight. The life you save, among others, will be your own.