Dorms are easier, less resource-intensive, can be made sufficiently interesting to somewhat offset a whole load of dwarf unhappiness by a significant amount, through decorating and installing items in the one area (I think).
But I always do individual rooms. It's more digging (but I usually set them in the middle of marble layers, so I want to dig them out anyway), it's more beds (you need one per dwarf, rather than half, third or a quarter and hoping for the best), it's more of everything (including more walls to be smoothed[1], and packing four rooms-with-shared-walls takes up more tiles than a dorm with four beds and a communal wall, as an additional simple example), including doors... But if you're giving them rooms you can individually equip the rooms with chests (useful) and closets (not useful, still?), and all the rest as and when you're rolling out masterwork statues ppurely for the sake of it, and if/when your charge rises to a nobilic position you're not having to suddenly scramble to get them something, you can just upgrade what they have.
Actually, let me return to the first sentence of that runaway paragraph: I always do individual rooms. If I'm assigning someone to a room (I could let them pick, but I prefer to micromanage, and shuffle them around sometimes for reasons best known to myself) I can see how many dwarves (including children and babies, who don't need rooms, but will still get them, to save time when they finally attain adulthood) are still needing rooms, compared with how many half-completed or waiting-to-be-furnished rooms. I may even ensure that spouses have a room each[2], but as 'rooming' one of the pair marks their partner as room-satisfied as well, this is the one saving of effort I probably make most use of.
Whoops, the keyboard ran away with me, again.
Shall we say ease (with lower psychological benefits) vs better moods (with a somewhat more involved industry needed to create them? And I go the latter route, habitually.
fakedit: Ah yes, vampire protection. That's why my most recent forts (all, so far, too short to reveal any benefits) have been based around a Panopticon principle so that vampires have very little opportunity to be unobserved. And maybe they know this, because I've had neither an observed vampire nor anything that might have been a unobserved vampire. Or I've just been 'lucky'.
[1] I never engrave. Smoothing is as far as I go.
[2] For whatever reason, my spouses are always the ones that immigrate, I've not had an on-fortress link-up for a long, long time. 40D era?