I prefer the CD (have both 32 and 64-bit flavors). They're a little bit more... universal, I guess would be the word.
Then again, I use them for real-world troubleshooting, and it's been my experience that a lot of the early XP machines can't boot off USB. Sure, it's slower, but it works.
That, and I hate having a thumb drive sticking out, especially when there are other people (or other living things) around to knock it out. I've lost a couple drives (and USB ports) that way.