If you are buying weights for local use in your BCD, I recommend soft weights. OTOH, don't worry if you are off in some dive resort and they only have solid weights -- they will work fine.
The pellets, more often called "soft weights" are recommended by most manufacturers of weight integrated BCDs. They put less wear and tear on the weight pockets, and they also don't slide around as much, so therefore are not as likely to dislodge the pocket from the BCD.
The drawback of soft weights is that they take up more room than the equivalent block weights. This should only be a problem if you approaching the weight limit for the pocket. They are a bit more expensive.
I have used mostly solid weights in my weight integrated BCDs. On one of them, the pocket is showing significant wear and I need to replace it, after about 300 dives, and quite a few boat trips where the pocket works back and forth for much of the ride.