Depends on the critter and distance and backstop etc. Hades pellets are amazing and the best pellet we have tested as far as terminal performance. Others really like the Polymags but I have never tried them out. Slugs are great for longer distances and bigger critters when you need more expansion and/or penetration. Pellets are the best choice when you have property damage or people damage possible, like shooting into bushes or through tree tops. Pellets dont start with the same amount of energy due to speed limits and shed energy really fast when compared to a slug. Slugs will be dangerous for several hundred yards so you need to be very careful with your backstop and ricochets etc. I use my pcps for hunting exclusively and here is what I have found to work the best so far:
-177 JSB Knockouts 10g MK3 at 900-1000fps for things like squirrels and pigeon sized birds. Hunting Range ~70yds
-22 Hades and Nielsen 17.5g at 950-1050fps for things like squirrels and pigeon sized birds, can also work well on skunks/opossum sized critters. Hunting Range ~60-100yds
-25 Hades and Nielsen 34.9g and H&N Slug II 38-44g for things like racoon or coyote sized critters. We use them for long shot ground squirrels too. Hunting Range ~200yds
Keep in mind you will need to be very skilled to be able to responsibly hit some of these goals so your mileage may vary. I mostly am shooting know distances from a fixed prone-ish position, and use my 22Cal Impact for walking around for the short distance stuff. There is a trade off between pellet speed and usable distance. For example I push the 22Cal Hades way faster than they should go, well over 1000fps. This makes them erratic past about 60yds and the wind affects them more when compared to stable speeds. But unfortunately terminal performance is very speed critical, especially with pellets so I choose to favor fps. I feel its the most fair thing I can do for the pests, I just make sure to know my limits and my equipment. There is more to learn on this subject than anyone will have the opportunity for in a single life time. Good luck lol