Depending on what you want to do, electro-competent cells might be indeed the better alternative. If you directly want to transform with DNA from cloning or QuikChange without purification of the DNA, I recommend to use chemical competent cells.
For the preparation several methods with different salt solution exist, as TSM, calcium chloride etc. The best method for myself was so far the preparation with rubidium chloride – stick to it!
As Marlen points out, for most purposes chemically treated cells are just fine and if your method works, just keep using it. Calcium chloride is also good, cheap, simple and very easy.