If I am using a tool head or bushing, I prefer the Dillon jam nuts. Smaller wrench than any other and the dies stays put.
I prefer the single split set collar style if I am threading the dies in and out or using them with the co-ax press.
After that the Hex nuts with a brass setscrew.
I use them all though, generally chunk the O-ring from the Lee nuts in a drawer and flip them upside down, when I use them, they are at the bottom of my list though.