I used to use PPTP, but switched to OpenVPN, which is now what I prefer.
As far as security, OpenVPN is known to be pretty bulletproof. PPTP is the only one with real issues, though it's still fine for protecting against your average dope using Firesheep at Starbucks.
Given the recent NSA revelations I personally wouldn't touch the ones by Cisco and/or Microsoft (PPTP, L2TP) with a 10 foot pole. The other ones supported by Android were designed in the open by committee (the IETF), which I know nothing about other than we now know the NSA tried to influence that kind of thing. But I think it's unlikely they seriously broke them if they tried so whether that bothers you depends on your level of paranoia about the NSA.
As far as the UI goes, the built in VPN configuration UI is a little clunky, and OpenVPN's is a little more clunky. But when you want to connect to the VPN, you have to go through a few layers of settings to get to the built in stuff, whereas you can have the OpenVPN icon right on your homescreen.
The built in VPN doesn't attempt to reconnect if you get disconnected. OpenVPN can be configured to retry a certain number of times. This was big for me.