It sort of depends upon your setup and what you want to do. If you're growing in a cabinet, you would probably want to use CFL to keep down the heat. Although I understand that they have different colour spectrums, I tend to think of HPS and Metal Halide as two side of the same coin - they're big and bright and hot but their really the best you can get for indoor growing.

Halogen is a waste of money. It's bright and really helpful when you're changing the oil on your car, but it doesn't have the correct colour spectrum for plant growth.

I have used both CFL (compact fluorescent) and the four-foot variety. I like the CFL for their flexibility. You can get a wide range of bulb wattages in a variety of colour spectrums. What I tend to use for both veg and flowering growth is a combination of cool white and soft white bulbs.

NIMH - works great in my remote control car ... but I don't think batteries make very good light bulbs

Incandescent: same category as Halogen. Leave them alone. They're a waste of time, money and energy and you'll never grow anything under them.

That's my $0.02 but check through the various FAQs and you should find more detailed info on what's the best.
-Peace