I've competed myself (not in tennis but in other sports) and I gotta say I prefer the silver. Why? Because for me it's just as tough losing a tight semi-final as it is losing a final.
In basketball I've won 2 Championships, lost 1 final, lost 2 semi-finals. The final we lost wasn't even close, while one of the semi-finals was decided by the final possession of the game, and one of my teammates was supposed to drive to the basket and pass to me so I could shoot a 3-pointer (and I had made a 3-pointer on the previous possession). Instead my teammate lost the ball. I sometimes think back to that moment and wonder what would have happened if he got the ball to me. I remember at the time I was certain I was going to make the game-tying shot, so was very frustrating not to receive the ball. I would definitely say that was the worst loss, but I've never lost a close final, so hard to compare semi-final to final loss in my case.