Honestly I'll smoke any way you care to name, but if I'm allowed my true preferences ...
Bongs get me high too quickly. I like to ease into the experience, and I also like for the smoking process to take a nice 10 or 15 minutes, so just ripping a bong a few times feels cheap.
Blunts seem wasteful if you use straight headies, and smoking mids kinda sucks. That said, if you find a happy medium of relatively cheap, tasty, and not-absurdly-powerful weed, a blunt is prime. Furthermore, if you ever have a gathering of more than 4 people, nothing does it better than a blunt, period.
Glass pieces (bubblers, dry pipes) require a lot of cleaning and you have to suck down lighter fluid fumes with every hit. They also break, and they're clearly drug paraphernalia (whereas rolling papers can be passed off as being actually for tobacco). There's a lot of risk and inconvenience associated with them, I find.
My favorite way to smoke is undoubtedly the spliff. The process of rolling a good spliff is something to be savored, and it allows for including all sorts of variants on just smoking weed (rolling in tobacco, cloves, lavender, spearmint, and all kinds of different herbages offers a lot of room for creativity). The social ritual of smoking a spliff is perfectly suited for just about any kind of interaction that's compatible with smoking weed in any way. A spliff is more portable and easily concealed than any other smoking device, and can be ditched more easily if authorities intervene. The advantages are overwhelming.