I use many things

In order:

1) Gravity Bong(first thing I ever smoked out of :P)

2) Metal/Glass Bowl/Pipe (Usually best for conserving your bud)(my personal favorite)

3) Steamrollers (fun with groups)

4) Bong (burns too fast, so it doesn't get me the high I get from a long session with my pipe)

5) Blunts/Joints (Burns weed constantly so only use if I have a lot of herb or just some decent shwag)

I tend to get higher with a nice, long session and some mellow music. So my pipe gets the most use by far.

Besides getting me higher, a pipe leaves a lot less stuff to carry and/or hide. I can just throw it into my pocket and not worry about breaking it or where to put it. A bong doesn't usually fit in your pocket.