I think in the long run investing in shares is a lot better than putting your money in real estate or commodities. There are exceptions though. It also depends on which shares you are investing in, what kind of companies and in which markets. The investors who earn the most are those investors who take some risks but not too much. If you take bigger risks you might earn more in the short term but you will earn less in the long run. For example it is better to invest in large value companies than in growth micro-caps. It is better to avoid very volatile markets, such as the dot-coms in the past and maybe the chinese stocks now.

There is less risk in real estate than in investing in companies. I think however that the extra risks in equity investments pays off soon. The reason is very simple: there is nothing that generates more money than other people working for you.

If you buy a house and wait untill someone else wants to pay more for it then obviously the house is not working for you. Even worse, any real estate investment has some yearly costs.

If you buy a company however, then many people are working for you. They generate a profit for you every year. They all want to improve their lifes, or at least to keep their position in society at the same level. In particular they all fear to loose anything and the best way to make sure you don't loose anything is to try to improve. My bet is that this psychological drive generates much more money than the increase in value of scarce goods such as commodities and real estate. Watch out, this psychological drive is manifests itself most in economies with good competition, with some minimum of human rights and with a low level of corruption.

There are exceptions though. For example in Holland the interest on a mortgage is tax-deductible if the house is your main residence. The taxes in the Netherlands are high, so for most people the net interest is roughly the same as the rent they would have paid when they rented a house. So the interest  on the mortgage can be seen as costs people would have to pay anyway. House prices keep rising in the Netherlands: at the moment economists consider housing prices to be high in the United States but the average house in the Netherlands still costs 50% more than in the US (2006) !