I buy the prewounds for embroidery bobbin thread. They are wound much tighter, more even and I find I go through fewer bobbin changes. For my regular piecing and machine quilting, I wind my own bobbins but I did purchase a bobbin winder (not that sidewinder thing) that feeds vertically and winds almost as tight as the commercial prewounds.
It all comes down to what you care to spend your time and money for I guess.