I have acquired all three without really realising.
WiFi
I do tend to avoid WiFi devices as there is something you can stick all WiFi devices with… They are on the same network as your personal devices and data and unless you know what you are doing they will invariably have access to the internet. So aside from the issue that a large chunk of them use basically the same controllers with very poor security my biggest concern is that if one device gets compromised (and being able to access the internet massively increases that risk) then people can get access to your network. If anyone thinks this isn’t true you only need to scan the info sec websites for regular horror stories where the attack vector was an IOT device.
WiFi also isn’t a mesh. Shouldn’t really be an issue in general but sometimes Zigbee / Z-Wave devices can build a more resilient network.
Then you have the issue that many use their own proprietary cloud services which may or not be supported in HA. A lot of devices have local versions but these are almost always not official and could stop working at any point (Look at TP Link Kasa devices).
Some devices can also stop working if your internet or WiFi goes down but this is a lot better than it used to be.
The pros of WiFi devices are that you don’t need any additional hardware, devices are widespread and cheap.
Zigbee
I inherited Zigbee courtesy of Ikea smart lights without knowing what it was. I have extended it with various temperature sensors and other things.
You need to have some sort of hardware to act as a Zigbee Hub and some way of interacting with it. I have a Conbee II USB stick and Zigbee2MQTT and Mosquitto MQTT installed alongside HA which means extra cost and complexity.
Zigbee does share frequencies with WiFi so you can get interference without a little planning.
Zigbee devices are cheap(ish) and widely available. There are plenty of devices (sensors, smoke alarms, radiator valves ,…)
Z-Wave
I ended up with Z-Wave via a Ring Alarm system.
This seems real quality but I suspect a large part of this is down to the quality of the Ring hardware rather than Z-Wave itself.
Z-Wave does not overlap with WiFi frequencies and is capable of better penetration of walls etc.
I originally intended to get a Z-Wave USB stick and connect like I do for Zigbee devices but in the end I have use a Ring integration which seems to work pretty well.
Z-Wave does have some security built into the protocol.
The biggest downside to Z-wave is cost and availability of devices. They tend to be a lot more expensive than Zigbee equivalents (but this may also be reflective of better quality)
Matter
One thing worth mentioning is there is a new kid in town. Over the next few years it looks like most Zigbee and Z-Wave devices will get slowly replaced with Matter devices (which is a new protocol that should help standardise IoT devices and means this conversation is redundant…)
This is for the future and I don’t think either Zigbee or Z-Wave are going anywhere soon. Even when Matter does come along (and some devices will be able to update to support it) I think there will be bridges between the legacy protocols and the new one