Putting it in your pocket will wear you clothing to pieces, literally. Ever see a pair of blue jeans that is frayed at the pocket? Chalk is so abrasive that it will ruin clothing eventually. Plus, it can just be messy.
Magnetic chalk holders suck for several reasons: You can't brush the chalk on if the edge of the cube is covered by the holder. Those that aren't covering the edges are better, but either way, you can accidently leave behind half of your holder and then you've got to go buy the whole thing again.
Those pencil thingies are ok, but as someone said, they don't work for all pants. Plus they have the same problems as the magnetic ones.
Leaving it on the table is ok, but I've seen players lose because they accidently used the crappy house chalk and miscued. But, the advantage to having it on the table is it forces you to walk around the table and this is good for strategy, in 8-ball anyway. If there's more than two cubes, I always remove them so I have to do a little traveling as I shoot. Others mentioned more troubles with using table chalk.
Karen's little bag is ok, but I'm guessing that the chalk can easily fall out and the thing gets messy, and it is made of cloth so I'm also guessing that it wears out, just like clothing does. Plus, it looks a little sissyish, imho.
So, as I tend to do when I can't find what I want, I invented my own. It's a chalk holder that holds just the chalk without any restrictive box around it or washers on the bottom or magnetic dodads. It holds just the cube of chalk, all alone, face down. It's called Chef Jeff's Chalk Cup. It clips to whatever on your person (belt, pocket, waist band, even the hem of my shorts) and when you need to chalk, you just reach down, grab the chalk cube and pull it out of the cup, chalk your tip like a pro, and smoosh it back into the cup, face first. No fumbling, no mess, no fuss, and the best part is, if you accidently leave your chalk on the table, your holder is 100% intact so you don't need to buy another holder, but merely put in another piece of chalk.
Availble soon at Zims.
Jeff Livingston