We have a Yakima box (I believe 16 cu ft, which allows us to hold skis in it). Great for camping, certainly, but also for skiing. I installed a pulley system in the garage to keep it out of the way. Love the box, and it makes packing for outdoor trips much less stressful. It does often make a buzzing noise on the freeway once you hit 75 or so.
Some of our friends - who have larger cars and thus more room - opted for soft carriers. They claim to really like them, but they certainly don't hold as much, aren't lockable, aren't usable for skis, and take a while to pack up and secure when they're hitting the road. On the other hand, they're easy to store and much cheaper.
Either one will hit your gas mileage, naturally.