For relatively hard, dry items - the burr grinder will usually produce a superior grind.
HOWEVER (and it's a pretty big "however..") the burr grinder, because of the shape of the burr that shaves / scrapes small bits of the material being ground, can trap bits of the stuff, and can be hard to thoroughly clean.
(Sort of like cross-contamination in the beer lines feeding the taps at your area taverns. Some do a better job of flushing the lines when they switch to different brews - some flavors, like the Lein-n-kugL berry, were very hard to get out of the lines.)
For instance, if all you use it for is coffee, I would think that a burr grinder is definitely the way to go, as long as you do not drink a lot of pre-flavored beans, and like to switch between flavors.
However, if you want to switch to/from/between sweet to hot to savory type spices, and do not want cross-contamination of the flavors, a burr grinder is probably not a good idea. In this case, a small, whirling-blade grinder may be a better choice because of the ease of cleaning - even though the grind quality is inferior.
If you do big batches of rubs - you may want to consider separate grinders for your sweet spices, savory spices, peppercorns etc - where a little cross-contamination may not be a big deal for you. (My Grandmother had a hand-crank ginder, with the wooden box / drawer underneath - that was strictly reserved for milling poppy-seed for baking.)
That grinder that Krueger-san pointed out sounds really interesting.