Buying feta in whole blocks, bricks, or wedges makes sense for the same reasons that you buy Parmesan in big chunks: it stays fresher for longer, it doesn’t dry out, and its flavor packs more punch. Also, it gives you more options. Sometimes you want to slice a thick slab of feta and other times you need large crumbles. Finally, feta sold in whole pieces is often—though not always—a sign of a better-quality feta.
Avoid pre-crumbled and flavored fetas. These are the worst examples of feta cheese in the U.S. Pre-crumbled feta can hide textural problems in the cheese, while flavored feta can disguise any off flavors. As a rule, I’d opt for store-wrapped pieces of feta over vacuum-packed containers. But my first choice is always large blocks of feta held in brine.