i prefer the hard drive ones
you get more recording time than any other format... and depending on the quality that you record in you can get a shit ton of time
they make docks for them that will burn straight to full size DVDs... or you could just hook it up to a computer and load it to your HD there, edit it down, then burn it
i believe you can delete on the fly like you can with a digital camera as well (not 100% sure on that one though)
i liked the DVD format ones until i really looked at them and realized that you dont get shit for record time
along with format you should make sure whatever camera has image stabilization and a decent zoom
other features are nice, but your specific use will determine what ones are more important