And you can't beat shrimp if you want to catch some roundheads (mullet, kingfish, whiting, or whatever name you wish to call them). Bloodworms just don't do good for that variety (not for me, anyway).
As already mentioned, I like to have both. I buy the 2 pound frozen shrimp (not cooked, of course), from Sam's Club (comes in a re-sealable bag). It's cheaper this way, and I just put whatever I think I need into a ziplock bag before heading out. It thaws quickly, and is convienient. (I know many say that using fresh shrimp is best, and it is, but I have very good luck on previously frozen shrimp as well.)