Not really bicycle advocacy, but education was the closest forum I could match this question to:

Many years ago, the last time I changed out my chain on my mountain bike, when I needed to remove links from the new chain, I would use the chain breaker tool to drive the pin out almost the whole way, but leaving it still inserted into one of the plates.  Then, when I connected the chain ends on the bike through the chainstay, I would just drive that same pin back through the chain and job was done. Sometimes it took a little bending of the chain to free that link up as it always used to bind a little bit. 

On the new chain I just bought for a 10 speed Shimano Road drivetrain, it came with a reinforced connecting pin.  It is tapered for easy insertion at the beginning.  After you seat it fully against one of the plates you break off the tapered part of the pin that is now sticking through the chain.  The directions say that it will stick out a little further than the rest of the pins in the chain after breaking off the tapered portion, but I figure I can clean that up with a file to make it smooth.

Then there is the old chain I just pulled off- it had a sort of master link where the plates had a key-hole type of hole for the pin.  It looked like the way to use that was to insert the pin through the fat part of the keyhole then pull the chain to get the pin to seat in the skinny part of the keyhole.  I've seen these for sale in the bike shops. 

So my question is, do it the old way where I just drive the old pin back in or do I drive it all the way out and use this bullet shaped pin that cam with the new chain?  Or should I invest in the masterlink style that my old chain was using?  What does everyone else do?

For Shimano chains, I always use their special pin. I also use Whipperman and SRAM chains and use the master link. Note the SRAM power lock isn't a replaceable master link - it needs to be rebroken and replaced (cheap < $5) if you need to do that - I have never needed to break a power lock. I kind of like the old way, too, but with the new thinner chains I've only been able to press in and loosen up in emergencies as it never lasts too long (for me). I now ALWAYS carry a Whipperman Connex master link in my tool bag because of a disastrous 30 deg w/35mph winds ride where my frozen fingers could not reliably keep the chain together - it broke 3 times and I was out in the middle of nowhere in the Los Padres National Forest. That master link fits most chains universally and it has helped me and other NC3 riders more than once! - Karl