I've used backpack, panniers, messenger bag, and saddlebag. I have now settled into using the messenger bag almost exclusively. It has become my constant companion, even off the bike--sorta my "mans purse." It serves as my brief case when I travel. It gives me more flexability for changing bikes for my commute. If I go out to the garage and my fixie that I normally commute on has a flat, I have the option to simply hop on my of my other bikes. If I needed to park my bike somewhere besides my office (or when I run to the store), I don't have to fumble with taking off/putting on panniers.

I will add though, that if I had a lot of stuff to carry--like say a laptop, I'd use panniers.

Dave