It depends on the situation.
I have some stored water (ideal for a short-term issue) some iodine and a handheld filter (ideal for short term, but once the bottled water runs out). I've been thinking about getting one of those Stripes, which zaps most bugs within 30 seconds.
However, if it looks like a long-term TEOTWAWKI situation from the beginning, I'd rather conserve all of that and purify rain or river water. This has the major benefits of saving the quick-acting stuff for when I really need it, and drinking water that is slightly impure but clean enough to not make one sick is useful for boosting one's immune system, which may come in handy later.
A DIY filter can be made with sand, water softener salt and charcoal in a jug or barrel. As long as the water is fairly clear, put it in a transparent container in the sun, and the UV rays will zap most of what remains. You can put together a contraption like this anywhere, with few materials.