I like the scalpel-style ones; I use a Havel brand with a curved blade. It's flat-handled so it won't roll away, and I can replace the blades when I need to and not have to throw the whole thing out.
I also like and use the little purple-handled snips from Connecting Threads for when I just have to un-sew 3-4 inches or so. The scissor blades are small and pointy enough to slide under individual stitches, and since I always have a pair of these by the machine they're often the most convenient tool at hand for pulling just a few stitches out.
I also keep a mini lint roller by my machine, for picking up and pulling out all the cut threads.