It will depend on your purpose, but I'd generally stay away from the collapsibles. With the exception of the CamelBak-style hydration bladders, collapsibles will leak. So will the one gallon jugs of water you buy at the grocery store. I like Coleman's 5 gallon hard plastic jugs. They're big enough to be fairly space-efficient but not so big you can't throw a couple in your trunk if you need to travel. Not too pricey either, if you shop around a little.

5 gal Coleman jug