Depends on the game, the range, and the gun.
For backyard starlings & grackles, I prefer wadcutters - they hit harder and expand better with those flat points. Plus I don't want the pellet to fully penetrate, because then it could lodge in my back fence, etc.
If I try to shoot a squirrel, I go for a head shot, and prefer a heavier domed or pointed pellet, like Crosman Premier 10.5 grainers.
But John is correct - just whichever ones shoots the best in your gun, so you'll have the precision you need to make a good hit.
For shooting doves roosting in my front pine tree that crap on my pickup (in season of course), I use a pointed pellet, since the gun I use is only a 400 fps Weirauch HWP 40, so I'll have penetration, and doves are very easy to kill, unlike grackles.
I've also kill a few starlings & grackles with no. 9 shot, from this Viper Express "shotgun":
http://www.pyramydair.com/p/gamo-viper-break-barrel-shotgun.shtml