Depends on the gas station, of course.
The station I usually use (Costco) has pumps with chip readers in them, which is a really nice security feature. Many stations near me also have contactless readers so I can use Apple Pay.
Yes, some still use a swipe + zip code, which isn’t very secure. It will protect against someone who finds a card lying on the ground, but won’t do a thing if (for example), your wallet is stolen, since the wallet will almost certainly have an ID card with the zip code on it.
In terms of skimming, neither kind is more secure, because skimmers include devices to capture your PIN when they capture the magnetic stripe data. If it’s capturing the keypad with a video camera, then you can protect yourself by covering the keypad with your other hand as you type. If it’s using a keypad overlay, you’re just SOL.
The main reason I use credit instead of debit at gas pumps is the same reason I use it elsewhere - if there is fraudulent activity, I’m not out any money while the dispute is being resolved.
You might find Brian Krebs’ series on skimmers interesting: