There are a lot of different options out there for marking quilts. I feel like they all have their place and they all have their pros and cons. What tool I select usually depends on the project and the purpose for my markings.
My go-to tool is the chalk squares. I usually am marking large, long lines on quilts with those. They are easy to grasp and don't skip a lot when I apply pressure. They are not very good for fine work, but they can handle getting rubbed against a long ruler. If I mess up I can rub it so that it will fade and it comes off easily in the wash.
The blue Mark-B-Gone marker is usually what I use when I am doodling on quilts. I used it on my Love at Home Wall Hanging to help get used to the motion of a meandering heart stipple action. I have used it to mark large quilts before. But after a while of continual use the ink runs out. It does wash out easily, but I have heard that you should keep the markings away from heat and sunlight or they will set and not wash out.
The blue and white pencils are great for marking intricate designs. Using a pencil on fabric makes it go dull faster than using it on paper, so a mechanical pencil gets rid of having to resharpen the pencil all the time. On the other hand, I also like regular pencil format. It leaves thicker lines to follow that are easier to see. If you go too fast the pencil skips and leaves a dashed line.
I used the blue pencil on the double wedding ring project I did.
The Micron pens are great for permanent lines. They will not wash away, so make sure they are right where you need them to be or in a spot that will be hidden. I used them on the You Are My Sunshine Quilt. They also come in a variety of thicknesses.
Frixon pens are all the rage right now. The ladies in my quilt guild swear by them. They come in lots of different colors and disappear with heat, like friction heat or an iron. They also reappear in the cold like a freezer. The only bad thing I have ever heard about them was from a teacher in a class I took. She refused to use them because they hadn't been in use for enough time. She hypothesized that the marks might come back after a while and you don't want your 30 year old quilt to suddenly have a bunch of markings all over them.
This teacher actually only ever used regular lead pencils. That is what has been used for many, many years and she can just mark very light lines and erase them when she is done. That is a little too time intensive for me.
Finally, the rotary wheel. I honestly haven't used this since high school home economics class. I would rather use a pencil. But it floats around in the sewing box because one day it might come in handy.
All of this information is from my own experience. I was not compensated in anyway to say what I have said. Feel free to try things out and make your own opinions.
Have fun quilting!