Needle for me too, all four times. When I was much younger, I had one piercing done with a gun (yeah, one earlobe, it was the nineties and I was still pretending to be a guy), and I much prefer the needle method in the hands of a trained piercer. It's my understanding that the gun simply thrusts the stud through the ear and causes more collateral damage, while a needle "cores" the hole and is a very neat and clean way to get one's ear lobes done.
At a local piercing/tattoo place with a properly trained and experienced piercer, it cost me like $40 for both ears via needle, including plain studs. Not the cheapest, but by no means breaking in the bank either. And I really don't relish the idea of having a Claire's employee have at my body with a piercing gun to be honest; I don't see them as being very well trained, experienced, or actually caring that they do the best possible job.
Within reason, I'm prepared to pay a few extra bucks for anything done to my body. Not that I'll throw money away on simple stuff like piercings, but it's really worth going to someone competent and professional, not a mall.
That said, it's an ear lobe piercing. 99.9% of the time, Claire's is good enough.