Loose chalk is generally considered superior in pure performance and is the standard for gymnasts and powerlifters. It is also great for sharing and you can often see the loose chalk held in a chalk bowl at training facilities. One con of gym chalk is that it is prone to get very messy if not contained properly.
Liquid chalk is contained in a tube or bottle and can be applied to your palms and dries up when in contact with air. This generally takes around 15-60 seconds. Liquid chalk is generally the least messy but is also a lot more expensive than dry chalk. Furthermore, the liquid chalk often dry while in the tube and get clogged up which can be a big annoyance to fix.
Chalk blocks are in our opinion the happy medium as it is not too messy but also very reliable. Chalk blocks can be turned into loose chalk by crumbling and crushing the blocks, however we recommend against this as the block is much less messy to deal with. We recommend to keep the chalk block in a Tupperware used for food.