Is investing outside your pension worth it?

So currently I’m maxing out my pension and saving for a gaff bit by bit. I’m quite a bit off buying a gaff really so I could probably invest some outside the pension if it’s worthwhile.

My question is it worth the hassle? I can see the value of the pension with all the tax benefits etc hence why I’m maxing that but buying ETFs etc outside of it just seems like you’re getting mugged by the tax man while taking all the risk and hassle of declaring/ paying etc. Is it worth it or should I just save any extra in high interest deposit accounts after maxing the pension?