Depending on the application of course, certain steel sections have inherent properties with regard to their geometry that make more desirable.
From a true fabrication standpoint the WF sections offer the advantage of bolted connection that require a minimal amount of shop welding. That is their webs and flanges allow for drilling and still provide access to bolts and nuts for erection. They are readily available (usually) and are cheaper to buy at least on a per pound basis than other sections that are acceptable from columns straight from the mill (i.e., no built up of sections required)
However, certain sections like tube steel inherently have favorable resistance to torsions. The disadvantage with tubing and pipe columns is the actual connections. If bolted connections are preferred then the welding of clips or plates with bolt holes in them have to be welded on to allow for bolted connections. To minimize the welding is to minimize the cost but the resistance to tortions may superseede the cost. I'm am not saying try to design columns with no weldments because there is always some type of welding to be done with regard to base plates, stiffners, knife plates, etc. If your designing moment resistant welded connections obviously the issue of bolted connections wouldnt be relavant.
Another point I will make is in regards to appearance. If I were dropping it trough a ceiling and into an occupied space I would look at a tube or pipe column because they tend to be more pleasing to touch, bump against, paint, etc. If it is in an industrial setting such as a process building or machinery support etc. I would use WF sections with bolted connections, unless of course other circumstance drove me to a different section.
Hope this helps,
DDS1