I have always used the following:
If Request.QueryString("MyQueryString") IsNot Nothing Then
But only because syntactically it reads better.
When testing for a valid QueryString entry I also use the following:
If Not String.IsNullOrEmpty(Request.QueryString("MyQueryString")) Then
These are just the methods I have always used so I could not justify their usage other than they make the most sense to me when reading back code.