Facebook offers many types of advertising options. Sponsored Stories which will show your ad when a user's friend interact with your ad, and Facebook advert which can lead to an external URL or a FB page.
There are some demographics which are more comfortable staying on FB and some demographics may like to interact with a real website. Test your adverts and creatives and see what type is giving you the best ROI.
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FB allows you to segment your audience by country, city, age, gender, relationship status, interests and more.