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Round have a slightly better light pattern since the beam is focused in a cone
but the difference is really subjective. whatever pleases your eye the most. I personally like the round the best because it flows with the body lines the best IMO...and it ties in with the headlights as well.
now, if you have a 04/05 and want a 06+ bumper, it is a easy swap. You need a few parts though.
06+ bumper with pre-cut holes
06+ bumper mounts (x4)
switch parts around if you have a 06+ and want 04/05 style lights
lots of guys have done the swapout. Once you have all the bumper mounts, it's a simple matter of unbolting the old, and putting the new on. Nothing needs to be adjusted or finagled to make it fit.
I'm just the opposite. I like the 04 style. they seem to project light a little wider to the sides, (good for seeing DEER in the ditches). as for fog, yeah, not that good. Luckily, I only have fog once in a while, and its usually at cab level it seems. Deer, i have that threat all year long.
We have the thickest fog in the world and more of it then anywhere else, I have never seen factory fog lamps that were effective. The same goes for driving in heavy snow storms although we do not have more of that then some other places. You would need a second Alternator and about four Big lights to cut heavy fog, and then it would be easy to outdrive the lights. I think they just look cool and I dont have a preference.