Personally I prefer the physical effects for their consistency. You can really tell when they've had to cut back on the CGI budget for an episode. It always bugs me when you can see through an explosion to the completely fine building underneath. A good example of them cutting back is at the start of episode 36 of Fourze. He does the MagnetStates limit break, and they film it at an angle where it's really quite obvious (at least to me) that they're having two guys pull the megnet halves out of his shoulders rather than CGI-ing it, and the shooting CGI is just pasted over the top of the live action scene rather than looking like a part of it. But as long as they maintain the same quality throughout I'm usually fine with it. Look at Hibiki, the CGI monsters are quite obviously CGI, but I got used to it.
The one other thing that bugs me is when they animate the lead characters. Garo often has CGI monsters, and CGI landscapes, but when they get to the horse riding scenes or the big final battles they make a CGI Garo too. It just doesn't have the reflective quality of the real armor, and I become very aware that this live action show has just become entirely animated. It's the same in Movie Max where the final scene is entirely CGI and because they don't have a big Hollywood budget the suits are noticably different to the real ones.
Having said that, let's be honest without CGI none of the henshins in any modern toku show would be possible. Or any of the Rider collectables gimmicks. The ones they often use, like henshins, form changes etc are often done really well (presumably in preproduction for the entire show). It's only when they want a one-off or get over ambitious that it becomes jarring. So I can't take a "no CGI ever" stance. Having said that, good choreographed fights with some physical effects will usually get the edge for me...unless it's lazy wirework. Just as much as animating the lead bugs me, I always get brought out of the moment when I notice that the character is flying in an easily-predictable arc, or just straight up and down with an unnaturally long pause at the top of their jump. Just as with CGI, when it's good it's fantastic. When it's rushed it spoils things. The only problem is you tend to get this kind of wirework in the movies based on the show, rather than the show. Kinda takes the edge off the specialness of the film.