I originally used the vials. Now, I use the pens and I am about to get my first insulin pump.
The main advantage of the pens over the syringe and vial method is that the pens do not need to be refrigerated once you start using them. Just slip into the purse and go! I keep the pen needles (the part you screw on) in a little make-up bag inside my purse. When I get home, I put all of the used ones into my sharps container.