Although ePSXe is rather finicky, I've found I get the best performance from it and I'm rather stuck to it. I tried using pSX (again recently since 1.13 came out), and I was disappointed with the limited graphics options and the speed that I personally acheived...
Personally, I use ePSXe along with ePSXeCutor so I can set the best settings for each game I have set up (Bilinear filtering for 3d games so they look crisp, with none for 2d games so the sprites don't look blurred...) After I set up the first few games, adding new games was just a matter of copying the profile of a game that was similar and changing the rom (copying Tekken 3's settings for Street Fighter EX)
So in MaLa I have epsxecutor set as the emulator with the game config name as the "rom" name which loads everything perfectly..
I will admit that epsxe is a bit of a hassle (especially when it comes to trying different plugin combos to get specific games to work right), but it's been worth it in my eyes since I get the look I would want for every single game (which often makes games look like they're from a totally different system).
(WARNING though, I have found that since epsxecutor essentially closes itself and launches epsxe with the desired settings, MaLa ends up thinking that it's back into focus, which will bring everything that comes with it back into play, such as the MaLa screen saver or the background music... very annoying... I use a Windows Video screen saver instead.)
EDIT: It's also not currently in development, either....
All in all, in some cases I favor intricacy and customization over simplicity, and this happened to be one of those cases. If simplicity and ease of setup is what you're looking for, I'd say definitely go pSX.