It really just depends on what you have to store, how valuable it is, how quickly you want to access it and how much visibility you want/need out the back/side of your truck. They all have pros and cons.
I've had a shell and loved some things about it but didn't like the hassle to remove it for large loads. The cost was also a bit hard to swallow. My last two trucks have had roll up soft covers which are great for my usage - My standard set of work tools is probably less than the cost of the cover. If someone were to slice the cover and steal everything in my bed I'd probably be out less than $1,000 total (and the cover was $500). If I had more valuable stuff I'd likely have a locking hard cover or shell.
There's really no clear cut answer.