Below is a brief summary of the different types of travel pillows available, along with advice on their use. Most are Memory Foam Pillow.
Therapy or Contour Pillows: These are usually rectangular pillows, usually filled with memory foam. The advantage of such pillows is that they are often contoured to support not only your neck and head but your upper back and shoulders as well. They can also be used for vertical sleep, so they're handy if you have a longer layover and want to rest between flights.
Inflatable Travel Neck Pillows: The advantage of inflatable pillows is that you can deflate them easily so they take up very little space when traveling. You can also adjust the firmness of the pillow by letting it out a little air until it is soft enough for you to rest comfortably. Plastic does make you sweat more than usual, so it's best to find an inflatable travel neck pillow with a soft cover, preferably removable, so you can wash it after use. On the downside, even the best quality inflatable pillows can feel a little stiff at times, and even with a cover, you might be tempted to try it if you're using it on a long flight.
One of the most popular fillings for these pillows is memory foam, which provides great support while traveling. Pillows filled with memory foam are usually a lot more expensive than other travel pillows, but if you travel a lot or have long trips, it might be worth it. They're not as compact as regular foam pillows and take up more space than deflated air pillows, so you'll want to make sure you leave the room when you check in your luggage. Many are also covered with thermal fabrics to help keep you cool while resting.
Some pillows are filled with Styrofoam beads or millet shells. The downside to choosing a pillow filled with these substances is that the filling tends to move around and build up on one side or the other, requiring you to constantly readjust it. If you're not traveling long distances or you don't mind having your pillows readjusted every now and then, they're usually pretty cheap and a good option. You do need to be careful not to let them come loose at the seams or get torn; if they do, they can make a mess.