Individually shielded pairs, for sure. The nonshielded (or overall-shield-only) pair cables are meant for telephony and instrumentation, not audio. They may be a few bucks cheaper, but they will give you unacceptable noise and crosstalk performance. The individual shields are really a requirement for any serious audio use.
IMNSHO, you also want individually *jacketed* pairs. This saves a lot of labor at the fan ends, because each pair is properly insulated and protected where you split it out of the overall cable and terminate it at its individual connector. There are some cheaper cables (ProCo, Belden) with shielded but non-jacketed pairs, and you certainly can use them- but then you have to heatshrink each individual pair to keep the shield foil from becoming damaged on the run to the connector. This stuff is often used for live-performance mike snakes that have a connector box on one end, because the non-jacketed-pair cable is slightly smaller, lighter, and softer (so it spools and drapes better for portable use). And if you're a manufacturer, you can charge a lot of money for all that pretty handwork you have to do heatshrinking the fan.
For a home studio snake where you'll have a fan on each end, especially one where you plan on plugging and unplugging, the individually shielded and jacketed stuff is absolutely the way to go. It costs a little more up front, but it'll save you significant building time and will probably prove to be more reliable in the long run, unless you're willing to put a lot of work into making a heatshrink stress relief for the individual fan runs.
From the Full Compass catalog, I'd go with the ProCo AC series, or the Gepco GA series. Of those two, I like the Gepco better, because it strips much more cleanly for quick termination. If you have a lot of it to do, that adds up. In terms of audio performance, they are pretty much equivalent...