When possible, I’ll always use hammer on weights. I’ve balanced enough wheels to know that sticky/tape-on weights are a serious PITA to take on and off, and always leave a nasty mess on your wheels. It’s true that hammer on weights might leave scratches, but I’ll take that every time over a gooey mess that collects dirt, and doesn’t come off with anything but a razor blade which, by the way, leaves scratches anyways.
I was disappointed though, when the last tire shop I went to didn’t even have hammer on weights. When I asked for them… all I got was a blank stare.