I prefer speakers, since they can give me the feeling that the sound is filling the room, rather than just filling my ears, and this also enables me to "interact" more with the music. Though my opinion is probably skewed since I don't recall ever having used a decent pair of headphones, whereas my parents have some pretty sweet speakers.
But there are some pieces of music that need to be played through one or the other. For example, Biosphere's Vibratoire is designed to be felt rather than heard, and is therefore utterly pointless through headphones. On the other hand, Autechre's Tewe contains noises which are pretty much indiscernible through speakers.