It depends on the set.
Since I'm a demo, I think about how I'm going to use the set. If the set has a lot of similar sized stamps (like sentiments) that I'll use at the same event, I'll usually go with wood. That way I don't have to buy too many multiple blocks. (I've worked my way up to almost two full sets already to make life work at my classes) Mixed Bunch would be an example of this.
Or Merry Minis.
Actually, I bought most of my stamps this year in wood (at least the ones from the Holiday Catalogue).
I think I go in phases ... but I really do like my wood.