I have quite a few Wi-Fi devices (around 40) and Z-wave devices (over 50) and more a half-dozen bluetooth sensors, so here is my compare-and-contrast.
There is nothing wrong with Wi-Fi as long as you can meet a few pre-requisites. One, try to avoid anything that requires Internet (“cloud”) connectivity — not only is that another point of failure and latency, but it’s a privacy nightmare, and many such services have folded, leaving people with dead-end hardware. All my Wi-Fi devices run Tasmota or ESPhome firmware which is fully local and fully customizable. When shopping for a new solution most of my time is therefore spent trying to determine if the device’s Wi-Fi module is compatible with one of these firmwares before I buy (and occasionally I choose poorly). Luckily nowadays several manufacturers are shipping devices with these pre-installed, or can be re-flashed over-the-air, and often are very affordable.
Two, you must spend some time and money to make your Wi-Fi stable and secure. That means NOT using the Wi-Fi your ISP provided, and it probably means running one or more UTP cables to key areas of your home for access points. It also means a separate SSID for 2.4Ghz-only IoT devices that can be blocked, or at least controlled, from reaching the Internet. For my network, a single strategically-placed Omada AP and a ethernet-only router running OpenWRT (at my cable modem location) are extremely stable and reach all three floors of my home.
Three, avoid battery-powered Wi-Fi devices. They are rare, and for good reason — Wi-Fi is not designed for low-power and often drains these batteries within weeks. Its poor battery performance is what prompted the development of low-power alternatives…
I chose Z-wave for low-power battery-operated sensors because it’s what many major home security systems chose (Ring, Abode, etc) and because it uses a different frequency (900MHz) from Wi-Fi for minimal interference. The addition of hardwired Z-wave nodes improves the mesh as routers for the battery-powered sensors, so it doesn’t matter if my hub is in the far corner of the house. One feature I quite like about Z-wave is “direct associations” so if I’m controlling a Z-wave motorized shade or LED dimmer, it’s nice to use a Z-wave wall switch that can communicate with them even if/when the hub is offline. The main drawback of Z-wave is it can be more expensive (unless you can wait for a sale) and has fewer devices/selection available. For example, the main reason I went with Wi-Fi switches and dimmers is because the Z-wave marketplace was missing decent options with touch-dimming or motion sensing.
Bluetooth low-energy sensors work pretty well, too — with caveats again. Namely you will likely need “BLE relays” to detect signals more than ~20-ft from your HA server. Wi-Fi devices with ESP32 modules inside (like Shelly Pros or SwitchBot plugs/bulbs) can provide this feature as a side-benefit.
You’ll find Zigbee is very popular here, rightfully because it has probably the best selection of low-power and local-only devices for reasonable prices. Unfortunately it is not as standardized as Z-wave so different implementations can be difficult/impossible to interoperate, and it also overlaps frequencies (2.4Ghz) which, along with USB 3.0 ports, can interfere with its signal strength. However literally the same chips for Zigbee can now be programmed to support Thread instead, a (slightly) newer protocol with recent industry momentum and the added advantage that, like Wi-Fi, it natively supports IP networking. Manufacturers building new devices with a these modules have to choose between a legacy protocol with compatibility issues, or a trendy protocol with universal IP support — personally I suspect many will be choosing Thread within the next few years, leaving Zigbee’s longer-term future uncertain. I already have five Thread Border Routers without even trying.
Finally, once you get your device connected, you might need a separate protocol to control it. Z-wave and Zigbee protocols provide both connectivity and control, whereas Wi-Fi, Thread, and BLE provide only connectivity, meaning you’ll likely need separate “integrations” for control. Common options include HomeKit, Matter, MQTT, or ESP/BTHome but there are many others supported by HA, so always be sure to review the compatibility notes before buying.
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