I try to collect all the umbrellas for cataloguing purposes, but if I'm going to use one, I'm going to "wear" one of my designs as an umbrella so I don't actually need to clog my inventory.
In my main, horror-themed town, I tend to use the busted umbrella. I sometimes alternate it with the bat umbrella, maple umbrella, and spider umbrella. I also have the ghost umbrella in storage, but I rarely bother to bring it out because it looks a bit too silly.
In my other towns, I tend to lean toward the elegant umbrella and lacy parasol.
I like the spider one, I also really like the maple and leaf umbrellas because they're really cute but I don't use them myself. I often don't use an umbrella at all, I'm pretty much one of the frog villagers who don't mind the rain. =D