Depends. If you have a big empire, especially one on multiple continents, you almost have to go with state property to deal the cost. It can also be really handy if you want to industrialise you empire since it gives an alright boost to hammers.
However, if you have a smaller-medium empire with lots of trade routes, Free Market is awesome. Trade Routes can be absolutly amazing and maximising them is always a solid economic strategy. That, and corporations can be extremely powerful if you have the right number of resources. Sids Sushi and Mining Inc can turn even a crappy little fishing village built on Tundra into a decent city in no time.