Stick Welding
Pros: Cheaper lower cost Welder (I got a dnipro-m 260dpk $300 delivered from Ukraine works awesome), No Gas or Bottle Contracts, extremely portable, easy to get in tight areas, very good on 1/8" and up thicknesses.
Easy to find consumables in small towns.
Cons: Poor on thin metal, always chipping and buffing slag, Steeper learning curve to use, high fumes, constantly changing electrodes.
My Opinion: Probably the best for first time welders because of the low cost of entry and consumables. No bottle contract to pay if you are not using it. Get yourself a rod oven too, dry rods work much better.
Mig Welding
Pros: Non stop production, no chipping slag ever, less spatter than stick if set right, super easy to learn, works like a hot glue gun, less fumes, easy to automate, great on thin metal.
Cons: Expensive consumables, Not very portable, can be temperamental especially with different operators messing with the machine, Need shield gas that is expensive and requires bottle contract, Lots of moving parts and other consumables.
My opinion: Great units if you want easy welding, or high rates of production, and have the money to burn.
TIG
Pros: If you have mastered TIG you have mastered welding in its slowest and most beautiful form, you are now an artist, Congratulations!
Cons: You have no free time because you are always TIG'ing in your shop.
None of your other welder friends want to talk to you because your always TIG'ing something or talking about TIG'ing something.
Your welder friends still have not figured out how to TIG and are just jealous.
Your wife has probably left you because you have no time to spend with her you just TIG 24/7.
My Opinion: The most expensive, difficult and time consuming of all forms. But the results look beautiful.