I try to go for 4-20mA when I can.
In addition to the reasons given by Lancie1, I have also have the following reasons:
*4-20mA seems to be the best for noise immunity
*It is very common, and most instrument manufacturers have instruments in this range
*Lines often get milivolt range noise in them, so using a milivolt range gets a low signal to noise ratio
In addition, devices are now more commonly fitted with Bus systems.
For analog devices, you may find it better to use Profibus, Devicenet or ASi 2. This also gets you better diagnostics.
Hope this helps,
Doug