depends on what you're doing...
arc is limited really to fairly messy structural welding on steel, lots of spatter and hard to control
mig is limited generally to steel or stainless unless you get some specialized add ons, which still aren't that easy to use, good welds on steel and stainless, and easy to learn, good for production
tig is best overall for precision welding, can weld on any weldable metal with the appropriate ac/dc welder unit, don't need add ons, excellent welds on any material that the welder has the power for... drawbacks are cost and difficult to master
torch - a little old school, but can be used on any weldable metal, a little dirty for a shop or garage, benefits are good welds, can be used for welding or cutting with the appropriate head, drawbacks are hard to learn, different torch heads required for different size material, will soot up your workshop without good ventilation, and you're buying a lot of expensive gas
I saved my pennies long enough to buy the best mid range tig I could find, the miller synchrowave 200, cost was about $2500 with the tank cart and regulator, worth every penny if you ask me though, if I could have afforded it, I would have bought the dynasty on account of its ability to weld aluminum with a much tighter weld and maintain the point of the tungsten