I like splitting thread, less build up. Have to be a little more delicate when forming the loop but the end result is less build up and thats what I'm looking for. Minimal bulk, with good "bugginess".
Edit: The vast majority of my nymphs are 14's, and 16's and thats when I split thread, so thats what I use most of the time. I still split thread on 12's because its what I'm used to, but if I where to start tying lots of streamers and bigger nymphs I would switch to dubbing loops more often.