There's no right or wrong depending on where you stay and where you want to go.
If you want to do some sightseeing stuff (like Wat Phra Cheo, Wat Po, Wat Arun), you're better off taking a taxi. If you want to have some fun at night at The Pimp (or a similar venue), then you're also better take a taxi. If you just want to get along Sukuhumvit Road nothing beats the BTS. And if you want to geet to the famous massage parlors at Ratchada area, then MRT usually is the best option.
I'd always choose my transportation depending on the location where I want to go. Sometime I take a taxi, somtime I take BTS and sometimes I even walk.