The nasal pillows are the least invasive and a lot of people seem to like them. I myself passed on the opportunity to try the ResMed AirFit P10 nasal pillows and opted for the ResMed AirFit Swift FX as it has one more strap and I felt it could stay on my head more securely. Not sure that this is true, but I am relatively happy with the Swift FX. Now I really want to try the P10's and wish I hadn't passed up the opportunity to try them while I have my loaner machine.
I have never tried a FFM, but felt claustrophobic using the nasal mask. I will stick to the nasal pillows but I am lucky not to be a mouth breather at night.
People will say it is quite an individual thing. Peoples faces are different shapes and sizes and you just have to find what is right for you.