I've been using the three piece type just because it's what was included in my first hardware set, and it's what I'm used to. I've already had one get filled with blow-off and could have cleaned it up, but tossed it instead (cheap to replace, and I have extras on hand)...
100% personal preference. Use either what you like, are used to, or can get your hands on easily. The LHBS that I visit has both types in stock typically.