While I wear both on the field (in case I break or lose one), I prefer a finger whistle, for two reasons. (1) I tend to have trouble finding the whistle on that damn lanyard after running to cover a play, and (2) it gives me an extra split second to think before I blow the whistle, to try and avert the dreaded IW.
I have found, though, I tend to end up using the whistle around my neck more when I work R or B/S/F, since I'm blowing it a lot less. When I work H and L, and I'm the one killing the play, I tend to be on the finger whistle more.