Water-based ones, while compatible with all toys and available with a large range of flavours and features, do tend to become sticky as the water content is absorbed by the skin/mucous membranes, causing the lube to become too concentrated. While refreshing the lube with a spritz of water is one solution, many people find it to be more trouble than it's worth when they're in the middle of doing more important things.
Silicone lubricant, especially that of a high quality, is great in that it can last so much longer... The downside is that it can ruin silicone toys. Even after a while, silicone lube can lose its slickness.
Really, it's a matter of trying different brands and formulations for yourself and weighing the pros and cons of each. I keep silicone lube around for use with plastic, glass and metal toys, and water-based for my silicone friends. I've found Sliquid Ride Silicone to be very nice; Sliquid also makes a number of nice water-based products, and Probe is strangely satisfying with its stringy viscosity.