Jogging on a treadmill actually protects against knee injuries because the treadmill's soft surface reduces the impact from pounding on the road.  Running indoors is also easier because the ground is being pulled from under your feet and wind resistance is eliminated.  Because of these differences, indoor running burns a tad fewer calories but the difference can be equalized by setting the treadmill to a 1 percent incline.  To reduce the risk of running injuries on the treadmill, do not set the incline to more than 2 percent for the entire run, do not over-stride, which is common on the treadmill, warm up and cool down properly, strengthen the legs and hips, and try not to run for more than 40 miles a week.