Heyyyyy, finally someone asks something I actually know a tiny bit about.
Personally, I use Max/MSP because it's so quick and painless to set most things up, especially if you want GUI's. It has internal support for Java and Javascript (for Macs it supports some variation of C, also, I believe). Making a patch (well, most of my patches anyway) into a VST plugin takes a matter of minutes once you get used to it. The plugins are "built" directly from your patch and require the Pluggo runtime (just a single install and then you can run any plugins that use it).
I think as far as audio processing goes PD and MSP are at the same level, with MSP coming with more higher-level objects (things that might take a few objects to set up in PD). I believe both support writing your own objects with a C++ SDK, but I haven't been obsessive enough for that just yet.
Random side note: PD has an object called expr~ that lets you enter equations based on individual samples for coding nonlinear filters and other things with strange behavior based on the input. You can set up processes based on differential equations and all kinds of stuff with it. MSP, for some reason, doesn't have it. I'm not sure why, but I miss it.
As far as making plugins, I definitely like Max/MSP better even if just for the GUI aspects. OpenGL support, picture based controllers, and more customizable options for the basic built-in features like sliders are very, very useful. I'm not sure how to incorporate self-made GUI objects into PD (though I know it's possible), and I'm not sure that they would work once the patch gets wrapped to a VST.
I could go on and on about Max/MSP vs. PD, but I'll stop here for now incase you're going to go a different road entirely. I think PD is a really good place to start learning general DSP, and it will let you know if you like the object-based programming or not. Personally I can't stand straight-up programming (ala C++ with the VST SDK), but for some things it can be necessary when higher level languages just aren't efficient enough.