Piercing. Tanking bullets, swords, spears, knives, and the worst of all, PAPER CUTS! They're so annoying, you never notice them until they get all itchy... :P
Then again, blunt immunity would help in martial arts, which I do, but I'd rather play fair and be able to survive bullets, then play fair and get one shotted by a knife.
If piercing includes bullets, I'd take that all day. I'd never have to worry about poking my head around cover, and I could shield a downed buddy with my body.
Blunt force would be nice, but I'm capable enough in a fight without it and I really don't foresee too many situations where it'll be life threatening.