Leaf springs are easier and cheaper generally, it all depends on what axle you are swapping, and what you are swapping it into. Coils and radius arms are a pretty good way to go also, especially if you can get all that stuff with the donor axle. As far as whats best? Depends on your uses, for me I would say double triangulated 4 link front and rear with coilovers or air shocks. (Hey, I can dream) But thats me, I play in the rocks, and its not a DD.
I don't remember if you said what axle you are using, but I would go with whatever the axle is setup for, if you get it with all the stuff. If you have a bare housing then you are already starting from scratch so might as well do it the way you want.