They've all got their pros and cons. Pros first.
Whole hops - they're not leaves, get that out of your head; they're flowers - are seen by many brewers to have superior flavor and aroma characteristics, promote brilliantly bright wort if used as a straining medium from the kettle.
Plug hops - flowers compressed with minimal processing into 1/2-ounce, well, plugs - are easy to measure and store better than whole hops, and have the same pros otherwise.
Pellet hops - flowers chopped to bits and compressed into, well, pellets - last longest in storage, take minimal space to store, and give more bittering for a given weight/space, as more of the lupulin glands are exposed to isomerization during the boil.
Cons:
Flower - depending on the quantities used, can impart a vegetal off-flavor in the beer, cause excessive loss in bitter wort retained after knockout, and don't keep very well unless in their original, factory-sealed packaging in cold conditions.
Plug - Same as whole, though they keep longer.
Pellet - Can clog kettle strainers; more particulate matter can reach the fermenter if no strainer is used; can cause vegetal off-flavors, presumably through boiling of smaller vegetable particles; are perceived by some brewers as imparting a less-refined bitterness, flavor and aroma.
I use all three, depending on circumstances and availability. If I had to choose one format, it'd be plug.
Bob