Depends on the look you're trying to achieve.
For example, if you're trying to tie slender dry fly abdomens, a dubbing loop is a poor choice. Tightly twisted dubbing applied by hand is the way to go.
If you're looking for a "shaggy" look, then a dubbing loop or touch dubbing works well. A collar on a nymph pattern is a good example. The Shenk's minnow example given by JG is another one that I'd never attempt to tie without a loop.
Some dubbings work better with different methods, too. YMMV...