Value Sets vs Lookups

I was using independent value sets for every need for value lists. A few days ago i learnt that using lookups for value lists are more cost effective because it is using one table to store data though value sets are using two tables.
Then a question emerged: when to use value sets? When we need dependent values, when we need to use selects from tables, when we need to list long values etc. Also there is advantage of validation for Value Sets; with special and pair validation types value set validation can be changed depending on the transaction type: insert-update, edit, query etc.