I feed loose only. My guys enjoy the pull and tug from the hay bin and then munching. I've tried a cube and they look at it like it's wrong then kick it into a corner.
Mine will eat cubes if thats all there is but like the loose better. I find that the loose is actually a little less messy on the fleece because all the tiny pieces in the cubes get like embeded in it AGH! lol
If I rip the cubes into easier to hold pieces, then the boys will eat them. I've been hammering them onto toys recently, and they seem to like that pretty well, but they LOVE loose hay. I like to hand feed them.
Annabelle prefers loose too, but since I had already gotten a bag of cubes (before I knew she didn't like them as well) I give her one of them every now and then. I thought they wouldn't be as messy, but turns out they are worse than the loose.
I feed both loose and hay cubes to my chins, though some like loose more than the cubes and vice versa. Sabin loves to use the cubes to throw at the bars in the middle of the night, because he knows it gets me out of bed, and the attention he wants.
I use both - loose and cubed. All my chins get a handful of cubes once a week when I clean cages and they get loose during the rest of the week. Most of them have devoured the cubes (and the loose) by the next cage-cleaning day!
I give loose timothy hay always. I put new alfalfa cubes in once or twice a week. I have a couple that love them, and a couple that could care less about cubes.