The side screws are always best. However...
The better switches have back stab clamps that tighten down when you turn
the side screws. They work reasonably well; just not as well as the side
screw, but sometimes the convenience is worth it.
The cheap switches have spring clips. They don't work worth a darn and
should never be used. In fact, those switches should never be used either;
just not worth it to save $1.