After having used dozens of compilers on several different operating systems, my advice is to use "y.h" for everything else, including your libraries and project headers.
Then you set up the appropriate inclusion search paths using your compiler's -I (or whatever) option. This is easier if you use something like make or ant to do your builds.
For third-party software headers, you could go with either form. If the package is installed and accessible to all users (e.g., in somewhere like /usr/local/bin or /usr/site/bin), then the "y.h" form is more correct, since it's controlled within your build process.
This combination is the most portable.
