Of course it depends on the severity of the slug/snail infestation, but I agree with Lee-Roy that using several methods usually works best. If you have enough time or the garden is small, handpicking at night or in rainy weather indeed works really well. I have done it for years now, ever since we first got a problem with the invasive and aptly nicknamed killer slug. I also look under stones and similar regularly to find slugs and eggs during the day.
Beer traps is another option and works good for many types of slugs and can be effective to draw out those that are hard to spot, but like with slug pellets some slugs are so content with their current position that they simply stay where they are. This is especially true for smaller slugs or slugs that feed on the plants near or just bellow soil level as they have no reason to move whatsoever.
This is the first year for me using slug pellets as the situation was getting out of control this spring after two mild winters in a row and excessive rains. We had a ballooning slug population. Something had to be done so reluctantly I bought som slug pellets. I use an iron phosphate based one called Ferramol/Sluggo. These are in my opinion best used when placed protected in a box. This not only reduces the risk of other animals eating them with possible negative health effects for those animals, but it also significantly reduces the cost of bait as virtually nothing goes to waste. Here in Sweden they sell these (overpriced in my opinion) boxes: http://www.snigelshopen.se/sni...
. If you look at the pictures you can easily do your own from a suitable plastic box. The moisture in the night air should be sufficient to release the scent from the bait and lure the slugs. A stone on top works well to secure the lid and keep other animals out of the box for me, but you might need other methods if local wildlife or pets is very inquisitive. Slugs have a tendency to follow the slime trails of other slugs so you may find the effectiveness of these boxes to actually increase over time until you exhausted the local slug population. The problem with pellets in a box is the same as for pellets directly on the ground, sometimes the plants you try to protect are more desirable than the bait, so they will go after them instead or they simply refuse to abandon the protected spot they are already in.
If you have an open compost its a really good idea to place a few boxes there as well. The compost heap is a super effective place for handpicking as well.
Not a recommendation to use slug pellets, of course it's better if you don't need to, but if you decide that it becomes necessary, you are at least aware that there is a more environmentally friendly and cost effective way to use them. I haven't tried different brands of slug bait, but I suspect the method would work for many other brands as well.