I've used an immersion chiller (copper tubing coils submerged in the hot wort, connected to a water source, running cold water through the inside of the copper tubing) and I currently use a counterflow chiller. This type of chiller has a coil of copper tubing inside of another large tube (like 3/8" tubing inside 3/4" copper tubing or heater hose). Hot wort flows through the inner coil in one direction, cold water flows in the other direction, and the two never meet. Both chillers have their advantages and disadvantages. I am, however, very happy with the performance of my counterflow chiller. I go from boiling to pitching temps in about 5 minutes.