Karen,
It really depends on what you plan to do with your round pen. Panels are good because you can relocate them if you want, whereas posts are more difficult to move. If you are starting horses, especially spirited ones, use strong materials, as they will tend to run into the sides sometimes. Whatever you choose, make sure that it is not easy for horses to get a foot or leg caught anywhere.
I have used Noble panels on several round pens over the years. If you are starting colts or have large horses I would recommend their 6 foot tall panels that are 12 feet long. If you use RoundPenGen you can figure out how many panels you need for your space. In the long run you will be better off staying away from the lighter gauge (18 and higher) panels.
