Obviously if I need more coverage I go with pressed, but if I'm just trying to set foundation, loose. But if I just swirl a brush in the pressed it's pretty much the same thing.
I prefer pressed powder for when i am going on because it gives me coverage. For everyday look i used a loose powder just to cut down on shine, and make my skin more matte.
I like pressed powder the best. Loose powder I like too, but I have oily skin so the loose powder doesn't last nearly as long as pressed powder to do with that. I like both in general though.
I prefer pressed. It's more convenient and less messy. I've also found a really good one for me - Stila Illuminating Powder foundation - so there's no reason for me to find a loose powder instead.