As pointed out, there are a variety of recreational drugs and PEDs, and, when assessing which is worse, I think the key variables are the amount and frequency of use.
Since my experience with recreational drugs and PEDs is limited to mild use of recreational dugs (in the past), I base my thoughts on the weakness of my perceptions as opposed to fact. My primary perception is that most drugs taken to excess and continued over time will cause long-term effects (and sometimes immediate deliterious effects) that will harm the human body. Taken to excess, there is no way I could state which drugs are worse for the human body -- though I am aware that drugs do run along a broad continuum of lethality.
In terms of which is worse morally, I'd have to say that I make no moral judement either way. The use of drugs is ALWAYS to enhance, improve or cover-up something -- whether it be to impact mood, attention, strength, wage earning, weight gain, cope... We are all human and we all have needs and most of us spend some part of our lives looking for/hoping for a panacea of some sort to improve their lives. We are, by nature, a narcisistic lot and therefore we have a convenient rationalization for cheating embedded in our DNA. I don't claim to be more self-actualized than the next guy and therefore I cast no stones regarding the moral 'which is worse' question. Both can be harmful to self and others; both are used/justified for personal gain. I would guess that if I were a 20 year old and was told an injection could improve my strength and if I perceived/rationalized that 'everyone is doing it' -- I'd probably do it too. It didn't take much convincing from my peers for me to choose to use alcohol or smoke pot when I was in college.