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Circles are for plugs welds.
Zig-zag or half moon would be for filling large gaps but these would be low strength compared to multiple straight passes.
The back and forth that gives the "stack of dimes" look is strictly for looks and adds no strength to the weld. It unnecessarily consumes more material.

You can't beat a plain good straight bead. The proper angle, wire feed, power setting and speed of movement will give the best weld every time.

If you're blowing holes in stuff then you may need thinner wire and less heat. A quick solution is to aim more at the heavier gauge of the two pieces (if there is one) and also move faster. I can easily weld .100 tube to 1/4" material on my highest setting if I aim more towards the 1/4" material and speed up my motion.

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Check this article:
http://www.millerwelds.com/education/article/articles8.html

At the bottom of the article are instructions on how to order the Miller Gas Metal Arc Welding handbook. It will answer all of these questions on technique.
I highly recommend it.

Here is the similar Lincoln manual, which is available to download free, but there is not much on technique.
http://content.lincolnelectric.com/pdfs/products/literature/c4200.pdf

Here is a short summary article on good MIG welding, worth a read.
http://www.millerwelds.com/education/articles/articles86.html

I can't stress enough that the Miller manual is invaluable and the best I have seen on the subject. It's great to help anyone get started. I'm a Lincoln guy, but the Miller manual is more thorough.

Bob