When working out problems in mechanics by drawing free body diagrams and so on, I personally find it better to write mg rather than W (weight) because I confuse it with work.
This seems like an odd question to me because W = mg is a definition of W so I don't see why people would choose one over the other. To me is like asking whether I like A or LW for the area of a square with sides L and W. Since A = LW how can you choose what you prefer?
Good question in fact. What do you prefer in the equation A = LW. Do you prefer A or do you prefer LW?
I use both depending on whether I'm given weight, or mass, like Kurdt. On the other hand, I usually substitute in mg for w whenever I can so, I have to vote for mg.