I really can't decide on a favorite...
I think that wooden dpn's are the most aesthetically pleasing, and they make sock knitting look so complicated with all the needle ends sticking out everywhere. However, I knit my socks much slower with dpn's. Nonetheless, I have some new metal size 2 dpn's that I can't wait to try. I can't remember the brand name of the needles, but they are so light.
I also like using 2 circular needles and the magic loop method. With addi needles and all of my stitches divided between two needles (rather than 4 dpn's), my sock knitting goes so much faster. I think that with the magic loop it would be very hard for your stitches to fall off the needles. With the other two methods, I have dropped stitches while my knitting was bouncing around in my bag. Magic loop is also cheaper... you only have to buy one circular needle.
I like them all!