My experience so far is that when it comes to pellets, the Pyrodex are hard to beat. I also think that pellets are the way to go if you want to load more than 120 grains of powder. The hole through the middle allows for a level of burning efficiency and consistency that is not provided with the loose powders.
The loose powders are cheaper and allow the shooter more flexibility in tuning loads. It seems that just about all of them have a following . . . I want to try some Black Mag 3, but am trying to avoid a hazmat charge. I would also like to try some Jim Shockey Gold fffg- maybe this winter. Pyrodex RS is a perfectly good BP substitute. Lots of shooters use nothing but Triple 7. And don't overlook regular Goex black powder. It is dirty, but there are a lot of other things to like about it.
It's going to take you the rest of your life to try them all and figure out which ones your gun likes best.