As an adult consumer, I prefer sets. Saves me time.
As a kid... well, collecting them individually was the only choice since the G1 box sets were never released here. But even if they were, collecting toys individually is usually easier because kids don't usually have enough money to get entire sets in one hit. Collecting sets slowly figure by figure is easier for kids, and a combining gimmick was a great incentive to complete the set. It's not like say not completing the Dinobots or Insecticons etc. -- when you completed the Constructicons or the Protectobots etc., you were "rewarded" by being able to finally combine them into a single gestalt robot. And I cannot deny that there is this great sense of achievement that you feel after having spent weeks or months (or years!) chasing down and completing a combining set.

Buying them all in one hit doesn't give you that same sense of reward, but being a more time-poor adult makes me prefer the box sets more. I wonder if the CHUG box sets sell better or poorer than individual figures. It really sucks that we are more likely to skip waves now, leaving collectors high and dry with finishing sets, especially combining teams. This wasn't a problem with G1 - although we never got any of the box sets, we did get all of the individual members (and some of them were reissued in the early 90s).

I guess that another advantage of box sets is that you don't run the risk of collecting just part of a team and then having to source the rest. It's all or nothing with the box sets - either you get the whole thing locally, online or not at all. Take POTP Predaking for example. I got mine online and I've yet to see a local release, so I'm glad I got mine online. One the other hand, I only have POTP Hun-Grrr and Rippersnapper and I haven't see any sign of the rest of the Terrorcons at my local shops, so that sucks. I've gone and ordered them from an online store, but really...

Collecting combining teams individually would be less harrowing if I had more faith in local retail releases.