I use both the Dremel Chuck and wrench-free collet and lock nut extensively.
My practice is to leave which ever is on the tool (the chuck or collet and wrench-free lock nut) on the tool for the next use. Also, the Right-angle Attachment lives on my Dremel as I find it (and the flex shaft) handy for much of the work I do.
99% of my work is with 1/8" shaft tools so either the chuck or wrench-free collet usually work ok.
Overall, I prefer the wrench-free collet and lock nut as I've NEVER had an accessory come loose with a collet. I have had accessories come loose rather frequently from the Dremel Chuck so I compensate by vigorous tightening and then, checking to see that the chuck is tight several times during my work.
My habit is to use either the 1/8th collet or the Dremel Chuck for most of my work and to use the Dremel Chuck for small shaft tools such as drill bits and smaller shaft accessories.
This system works great and my Dremel 395 has sufficient power to muster speed against the inertia of wood and metal.
Thanks to Dremel Co. for making the most versatile tool in my collection.
There is one thing that would make Dremel tools even more useable - and that is to make them REVERSIBLE, like my drill.