Lump all the way. I've used Royal Oak Natural Wood lump for a long time. I now am really enjoying B&B Oak Lump Charcoal. RO had started having smaller and smaller pieces per bag, with a lot of dust and crap. The last several bags of B&B have really been impressive with large chucks and little to no waste. Both burn about the same. It's really about usability, plus the B&B is a little cheaper, as they both smoke really well.
Check out for some dated info:
http://www.nakedwhiz.com/lumpindexpage.htm?bag