With our whole exome sequencing (WES) only the protein coding regions of the genome is targeted. The technique is a lot more cost effective than whole genome sequencing, allowing researchers to increase sample number, an important factor for large population studies.
WES does however have its limitations as it is based on probes capturing the protein coding sequences. Due to differences in the hybridization efficiency of these probes this can result in regions of the genome with little or no coverage. Additionally, WES suffers from reference bias as capture probes tend to preferentially enrich reference alleles at heterozygous sites producing false negative SNV calls.
Therefore, whole genome sequencing (WGS) is still preferable over whole exome sequencing as it allows you to interrogate single-nucleotide variants (SNVs), indels, structural variants (SVs) and copy number variants (CNVs) in both the ~1% part of the genome that encodes protein sequences and the ~99% of remaining non-coding sequences.