I prefer micas; they are generally easier to mix and the colors more true, or cleaner. I like my colorants to work like crayons; what I see is what I get. I buy from Nurture because a huge portion of their micas do exactly that; however a few greens tend to temporarily morph, and oranges....well....they can do some weird stuff no matter what company they come from. Nurture is really good as informing customers about quirky micas.
I also prefer micas because I can add them dry to the batter. Spots are rare, but I actually like them.
No matter the colorant, I rarely mix with water or oil because 1) I don't like using batch oil because the uncolored portion doesn't get it's share of the oil 2) I don't like using extra water or oil, because I have good reasons for choosing the amount of water or oil I use in my batch. Plus, sometimes these imbalanced proportions leave an uneven texture in the finished bars.
Hope that was helpful.
Oh - and just as important: Choosing just one type of colorant keeps my bank account happy. If I were rich, I would buy one of every single type and color and shade because even the 96 size of Crayola Crayons isn't enough!