I prefer loose tea over bags because it almost always makes a better-tasting cup of tea. It's a bit more trouble to make because you have to dump your leaves and rinse your filter between cups, but well worth it. At home, I always make loose, using a Teela filter, like this: Teela filter
At work, I don't want to walk down the hall to the kitchen to dump out and rinse a filter, so I just use teabags. It's not easy to find a teabag that matches the quality of loose tea, unfortunately.
Loose black teas are my brew of choice. Wikipedia has a fairly good article which lists many of the varieties of black tea, and gives an overview on how it's made: Wikipedia - Black teas
Straight Assam tea is my favorite, hands down. The flavor is described as "malty", which means rich, rounded, and somewhat sweet. For my palate, the maltiness provides a perfect counter-balance to the tannin. Keemun teas have a very different quality. The flavor is harder, sharper, less sweet. To my palate, these "ramp up" the tannin flavor, so they can seem almost acidic.
Both Assam and Keemun are very recognizable as "that tea flavor", yet they're very different. They're both very strong and can dominate tea blends.
Ceylon teas are very well-balanced, kind of half-way between Assam and Keemun in terms of both strength and flavor. Darjeeling is wonderful, very subtle flavors, almost with floral overtones, with a subtle tannin aftertaste. It could easily be dominated in blends, so probably best enjoyed "solo".
Lapsang souchong is a kick... it's the vintage Cabochard of the tea world. It's cured over smokey fires, and - yes - that smokey taste does come through. Actually, you don't have to wait to taste it, it comes out to greet you. I've had a small bag of Russian Caravan (a Keemun and Lapsang blend) for nearly a year now, and as soon as I pull it out of the cupboard, I can smell the Lapsang right throug the bag. Believe it or not, this actually makes a very satisfying cup of tea. One word of advice: for maximum enjoyment, drink it hot. Some teas still taste good when they're cool, but IMHO lapsang ain't one of them.
Tea blends are fun to explore. Like perfumes, changing the amount of a certain tea will totally change the taste/experience.
Here are some teas that fascinate me, but that I haven't yet experienced:
-- Pu-erh. I first heard about these cakes of compacted tea last year, even watched a film showing how it was made, but haven't yet sampled it. I'm itching to try this.
-- Dragon pearls. I got my Teela filter partly because it's large enough to allow these flower-like bundles of green tea leaves to fully unfold. Later I realized you probably don't *want* to do this, because that would prevent you from seeing the unfolding.
Green teas are still largely an unknown for me. I've only tried three or four loose green teas. I want to get into those, but it's a big step down from the rich malty tannin-heavy black teas to the tender hay-like subtleties of green tea. I need to retrain my palate to understand those flavors. I know there's a whole world of Chinese and Japanese green teas out there just waiting to be experienced.
Well, I've blathered enough. I would *love* to hear what other people's experiences with teas have been.

