I was formerly an advocate of thread RPs exclusively, but at present I'm in three 1x1 RPs, all of which are via PM. At least here on newguild, the PM layout is very simple so it feels almost like posting in a thread. You can also get away with lots of things in PMs that you can't do in a thread, since nobody is reading.

But if your intent is to put on a good show for others, then definitely go thread. It really depends on your intent with the RP in question.