Yes, Phillips were indeed specifically designed to cam out: [http://en.wikipedia.org/wiki/List_of_screw_drives#Phillips]
I usually prefer square, mainly because easier to get (at least where I'm at) in a wider range of screws, but I've used Torx screws quite happily as well. I don't think I've ever actually seen a PZ screw.
Some of the self-feeding screw guns can take either phillips or square bits - I had one for a while that could do that.
I particularly like the Kreg, SPAX, and Highpoint screws. I don't think I've ever tried the GRKs, as I can find those other three brands in the local stores I shop at...
I've actually driven Kreg screws through thin sheet metal as well, even though I don't think they are really labelled for that... seems to work OK.