Elevators for two reasons.
The first is that the elevators had something happening at least. With the loading screens, I was got bored incredibly quick, and with the number of loading screens, really broke up the gameplay, IMO, while the elevator and the like actually kept it feeling like everything was happening continuously, if this makes any sense.
Second, I refer to a Extra Punctuation article about ME2 (if someone could link it if it hasnt already been). In it, Yahtzee says that the loading screens broke the immersion of the game by breaking it up. With the elevators, you actually could feel like you were leaving the Normandy or traveling between points on a map. His article says this point much better.
There is also a kinda third reason that really fits with reason 1, I just feel that even if the loading screens took less time, they felt longer than the elevators. In fact, I feel the elevators were pretty short when compared to the loading screens in most games.