Pills are great for nasty stuff like flax/fish oil, but you have to be aware of the dosage. These pills usually contain ~1 gram of fat each, that is nothing when your supposed to be taking 1-2 tablespoons of most EFA's per day. That would mean consuming around 25 caps a day to get the right amount.

Bulk powders are usually better because they are cheaper and just easier to get the right amounts to toss in your shakes or other liquid. As the others said you usually can't get the right amount of most supplements by caps without taking like 10+ at a time. At least that has been my experience with them.