It completely depends on the level of intimacy you want the reader to have with your story. Different points of view allow different distances. Also, it has to do with how much you want your reader to know.
Which I prefer just depends on what kind of story it is.
I actually before coming to this site preffered 3rd persson either limited or all knowing. But when I came here I thought more people would read my stories if they where first person like the majorety seem to be on here. Now it's habbit and easier to write first person.