The double edge razor gives me the closest shave of anything i've tried, but when I'm in a hurry, i'm much more likely to cut my head (and when I did, it would be bad!). It's never given me trouble on my face, though.
I started with the Gillette fusion. When shaving my head, the blades didn't last very long (I remember less than 2 weeks, shaving every other day). The Dorco seems to last about a month, and are cheaper per cartridge.
BTW, if you can get comfortable shaving your head without a mirror, shaving in the shower is so much easier and less clean up after.