If you have a hammer drill, then use tapcon. If you don't, then you're going to have to buy or rent tools anyway, and the decision isn't clear. Cost is largely a wash if you don't already have the appropriate tools for one or the other. Time is different, though. Drilling holes and then screwing in screws is much more time consuming than simply shooting a nail. The biggest advantage for screws, though, is that they can generally be removed if needed later. Nails can be too, but they may chip or spall the concrete, or you may have to cut them off and grind them down flush with the concrete later if you decide to remove the item they are attaching.
With screws you can use a regular drill and a concrete bit, but the bit wears down quickly and the drill proceeds slowly. If you have very few fasteners, though, this can be the most cost effective option. If you have many fasteners you'll want to rent a hammer drill, which works with the concrete drill bit to drill significantly more quickly and easily.
Chances are good that a cheap drill will have difficulty driving the concrete screw in, though. Again, a strong drill or a hammer drill improves the experience here, but isn't necessary. If you use the hex-head screws you can use a socket set to drive them in, and again is a cheaper option to buying a new drill if you aren't doing very many of them.
With nails the work goes very quickly. The powder actuated nailer isn't terribly expensive to buy or rent (cheaper than the hammer drill) but the consumables (powder and nails) are more expensive than the screws per fastener. However, you can't beat the speed you can attach something with. If you're doing many fasteners and don't have a hammer drill, being able to nail in the boards quickly allows you to move forward in your project.
Nails can cause problems, particularly in substandard concrete. If the concrete is soft, or has evidence of spalling or a lot of cracking, you should probably shy away from nails. You also have to make some decisions in the blind - without knowing how hard the concrete is you have to try a few different size powder charges to find the one that drives the nail to the correct depth.
And, again, if you believe there's a good chance someone will want to undo what you've done, screws can be slightly more forgiving in terms of removing them from the concrete and using that area in other ways. Nails are hardly a deal breaker, but they can complicate removal later.