It really depends upon your application/needs - Maybe more importantly, what is your load? Obviousely, passive may be easier to construct if you can get by with a low-order passive filter. But active filters offer high input impedance and low output impedance, gain, and a wide variety of responses... And they are a whole lot more "sexier" than just an R and a C.

Hi wethery, jasonh said it pretty well, but I will try to add a little to it.  
If the impedance at the input driving the filter or the impedance of the filter load changes very much over time or frequency, an active filter is much more predictable in behavior.  The higher the frequency, the more other things enter into the choice.
A second order filter has twice the roll-off rate beyond the cutoff frequency than does a first order filter.
If noise is an issue, a passive filter can be quieter than an active filter.
Active filters eliminate the need for inductors, which can turn out to be very strange values in passive filters, and therefore impossible to purchase.
I hope this helps.

-active filters provide gain
-consider frequency range:
  *active: up to 100 MHz
  *passive: up to 1000 MHz
-passive filters are less sensitive
-active filters are light, small and inexpensive
-active filters require power supplies