I prefer playpens because I keep Chineseys who have very tiny feet that can get caught in the ventilation slots on an exercise ball. Not only that but I think they prefer it too as they can explore toys that have been chosen with their interests in mind as well as getting to do things like treasure hunts where I'll hide seeds for them in their playboxes.
As well as a playpen I've got a small plastic fish tank that is no longer watertight that I fill with substrate for James to dig in. He loves burrowing.