I have used and have all three of them. I have found what works best for me is boot camp as it runs windows natively and apple supplies all the necessary drivers for the Mac hardware. The software solutions like Parallels and VmWare have issues with direct X and when they update their software many have problems.
I personally have only had minor issues with either software vendors. But I got tired of this game uses direct x 7 (example) and it runs and then another game won't etc etc etc. Then there's the different versions of direct x.
So, I said the hell with it and installed bootcamp and IM glad I did. Now all the games I wish to run work well, even the latest simcity societies works great where many PC users can not even get it to run.
Additionally using boot camp saves you the $$$$ as you don't need the proprietary software. Of course for any of theses 3 choices one needs a legal copy of windows. While on the legal copy issue, many users of the "software choices" (parrallels and vmware) when updating their software have had to re install windows and they they run into the windows genuine advantage crap. Something worth thinking about!
This is just my opinion and personal experience. I do not wish to debate it with others here. Best suggestion is to visit the respective software vendor sites and read the forums yourself. Then make what you think is your best choice.
Like I said, I have actually used all 3 and boot camp is far better for my uses. Best wishes in your choice.