Seems like this is one of those topics that could be debated forever. I, personally, have a Wilderness Systems Tempest 170 that has a skeg. I like it, but try to NOT depend on the skeg entirely. It is handy when there is a stiff cross wind, but even when there is I only use it part of the time. I don't want to get so dependent on it and not know how to handle a situation where something happens and it jams and will not deploy. I have tried a few kayaks with rudders and do not care for them. Somewhat for the same reason, not wanting to get dependent on it. Also, I don't feel like I have a solid "footing" for more powerful paddling.
That all said - try out what you can. Skeg / Rudder / Neither and see what you like. The best time to try them is in the wind when you think you need the rudder or skeg. I wish I could have tried more different boats, but there aren't many available around here. But, I am happy with the one I have and hope that I can wear it out.