I'll chime in a bit with 2 cents.
While very wasteful of disk space, a not merged set is the easiest to maintain. If you want to delete a game from your collection, just find the zip file and delete it. You don't need to worry about rooting out all the parent roms, nor worry about breaking other games when you do delete one.
Also, space is cheap.
I personally flip between the two. On a new system, I do an unmerged set while I'm developing the machine and working with the game lists to clean up the roms I want/don't want, then spit or merge from there depending on the machine, once I want to lock down the roms it will play.