I use spray primers. Though I've heard the paint-on primers work, I just don't have the patience to deal with them, as I already get a little annoyed having to paint in crevices and other spots I missed with a spray-on primer.
I've been using Games Workshop's Chaos Black since I started painting miniatures. It works well, laying on an even coat. It even works in high humidity, though I've avoided using it in warm temperatures. For those who don't know, using primer when the air is warm and humid causes a "fuzzy" or "grainy" effect. Overall, GW's Chaos Black (and white) works. The downside (as usual when dealing with GW) is the price ($16+ per can)
Price hasn't stopped me in the past, but since I no longer wish to support Games Workshop, I'm looking for other alternatives.
My next choice will be The Army Painter's black primer. I've used their other color primers and have had no problems, but those were for what's called the "The Army Painter Method." That's where you spray on the dominant color of your miniature, paint on the details, and then dip the miniature in the Army Painter's varnish. The primer is also cheaper, around $11 per can, opposed to Games Workshop's $16+ per can. I also really enjoy the Army Painter's tutorials--they actually show you how to use their products.
I've never used "non-gamer" primers, such as Krylon and the like. They are usually cheaper--around $8 per can. I've heard they work okay, but never have I experimented with them.
There is one primer, by a company called Armory, that I recommend you avoid using. You can tell them by their Munchkin-like characters on the side. While I'm using up for trying something once, I've read too many bad reviews, (like this one and this one and these), for Armory primer. Apparently, it has lots of quality control issues--likes to go "fuzzy" or "grainy." People have been lured by the cheapness of the product (around $5-6 per can), but end up having all kinds of issues.
Yet when it works, it works well. But why bother risking your miniatures with such low odds?
So what primers have you used? Which ones do you recommend?