For Iris Caddis, I usually use split-thread to dub the head. Got me wondering about pro & cons for a few other techniques so I tried dubbing loop & touch dub; just rough dubbing the head works pretty well, but for smaller flies (#16 on down), I find mine get a bit too bulky. Since I'm most comfortable with split thread I found that the easiest and fastest to work with (duh!) since the bobbin acts as a self-contained weight and twisting mechanism and no extra tools are needed; only issue is getting the amount of dubbing right - too much and I have to find a way to get that extra dubbing out of the loop to finish the head neatly.
Dubbing loops make estimating loop size unnecessary since I can tie it off with my thread; however, for smaller flies, it adds a bit of bulk and I have to grab a hook of some sort (home-made bodkin) to twist the loop.
Touch dub is pretty easy since no twisting is needed but the dubbing's not as secure (actually makes the fly buggier if a fish chews on it so this isn't necessarily a bad thing), and then I have to carry wax in my travel kit (which can melt when I'm out and about on a road trip).
What's everyone else use?