I definitely prefer a Glencairn over a rocks glass. When I first started tasting, I was using a rocks glass. One of my early experiences was with Makers Mark, which I found unimpressive. The next time I tried MM in a Glencairn glass, I found the MM to be much improved.
I now do all my tasting in a Glencairn glass, and feel it adds to the experience in a positive way.