I greatly admire writers who have a foot in both camps, such as David Foster Wallace who suicided three days ago, aged 46.
I have read a number of his short pieces and The Best American Essays 2007 that he edited. (His novel Infinite Jest, which Time Magazine included in its List of 100 Best English-language Novels, has over 100 pages of footnotes, a technique I find rather irritating, and the reason I never read the book.)
In his introduction to The Best American Essays 2007, he says some things about the difference between fiction and nonfiction, that still resonate with me:
Writing-wise, fiction is scarier, but nonfiction is harder — because nonfiction's based in reality, and today's felt reality is overwhelmingly, circuit-blowingly huge and complex. Whereas fiction comes out of nothing. Actually, so wait: the truth is that both genres are scary; both feel like they're executed on tightropes, over abysses — it's the abysses that are different. Fiction's abyss is silence, nada. Whereas nonfiction's abyss is Total Noise, the seething static of every particular thing and experience, and one's total freedom of infinite choice about what to choose to attend to and represent and connect, and how, and why, etc.