I remember there's a chapter in the book Reminiscence of a Stock Operator, in which the "Boy Plunger" Livingston choosed to use market order after just leaving the bucket shop. He blowed himself up, then realised that a market order could lead the man in danger during a drastic market movments, which would cause the bargain price far away from the anticipant price.
I trade the electronic T-Bond futures, which moves quickly in the first 1.5 hours, so for those hours I use market to get in quickly, otherwise I will miss the opportunity. After that, I always use limit order (buy@bid, sell@ask) because my limit orders always gets filled when the market is not moving very quickly.