Previously, I used to use MFC collection classes such CArray and CMap. After a while I switched to STL containers and have been using them for a while.
In fact you can use STL algorithms on some of MFC containers as well. However, STL containers are preferred for another very practical reason: many third-party libraries (Boost, arabica, Crypto++, utf-cpp...) are designed to work with STL, but know nothing about MFC containers.