Rechargeable AAs might be the best choice for those that don't want to spend too much money on the LEGO battery + shipping, and don't care about the weight difference.
Another advantage of the LEGO battery is that you can charge your NXT without having to remove the battery. This results in you- and I read this in a books somewhere, or on a website- being able to build a charging station for your NXT, so it can go and charge whenever it is low on battery. I don't know if NXT-G has a block for battery reading, or if you would have to time how long the NXT is on, but I thought building a charging station would be fun.