I've read that unlisted is preferred because it prevents long threads from cluttering local/federated timelines. Interestingly, unlisted is not the default for replies in some (most?) clients, though. Personally, I try to remember to set unlisted unless I think the reply might be of interest to more people beyond my own followers; e.g. if it's useful information others might benefit or learn from.

@jcsteh Ah, didn't know that. I initially thought that replies would only be seen by the people they were directed at.