Because the answer depends on so many factors, it's pretty much impossible to give a blanket statement about which kind of powder is better for everyone. And actually, what's best for you will probably change with the day. Let's start with loose powder and outline the situations that could make it the best choice.
Loose powder generally isn't used on its own -- you apply it after foundation, to set the makeup on your skin and make it last longer. It's finer than pressed powder, so it tends to settle into fine lines and wrinkles more easily than pressed powder does. Because it's finer, it contains less oil than pressed powder, so it's definitely the best choice for oily skin. For a sheer look, you apply it with a big, fluffy Kabuki brush; for more coverage, wrap a powder puff around your finger and press it into your skin, always paying more attention to your forehead, cheeks and chin.
Now, for pressed powder. One of its greatest advantages is portability -- even if you use loose powder over foundation, you don't want to carry it in your purse all day. A small compact of pressed powder is perfect for touchups during the day. It goes on heavier and has more oils than loose powder, which makes it easier to conceal blemishes and attain an even skin tone. For this reason it can get a little cakey on oily skin. And for a natural (but still made-up) look, you can't do better than pressed powder over liquid foundation.
So, here's our final, extremely noncommittal statement on the battle of loose vs. pressed: Go out and buy both! Unless you wear absolutely no face makeup, there will certainly come a time when you're in need of powder. If you get some of both, you're sure to be covered (pun intended) in any situation the cosmetics gods throw at you.
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