Depends on what I'm using it for. If it's binding, or something heavy/bulky like that I'll use Elmers School Glue in the bottle and set it with the iron.
If it's for piecing then I use a glue stick - no need to set that with an iron. Roll it on, place the fabric, bring it to the machine to sew - done. I've used a few different sticks, including Avery and Office Max own brand (or was it Staples - can't remember which store now). At any rate, each time I buy a pack of glue sticks I test them first to make sure they wash out. And no, I have not had any problem gunking up my machine, and I've used this stuff A LOT!!