2. is basically the same as 3. stuck inside a fatty cable (they both convert). The blue light on 2. shows it's drawing power from the console in order to perform the YPrPb-to-RGB conversion.
3. can be much cheaper than 2. (search on eBay), but for the price of 2. you can buy 3. and HAVE a usable component cable for regular HDTVs.
3. requires an available USB port to draw power from, such as on the Wii.
2. will reduce cable clutter, if that matters.
2. and 3., when used with a non-interlaced monitor, do not display interlaced games. (Goodbye some VC, Madworld, Tenchu4, Kororinpa 1, Trauma Center 1, and some GameCube)
Wii needs to be set to 480p before being hooked up to the monitor, cuz the default 480i will not display on the monitor right away with either converter. (this is a problem for users who don't have a component cable with an HDTV; 480p option is not selectable unless some component cable equivalent is attached. If the converters are attached, 480p option is selectable, but you'd have to navigate the Wii settings menu "blindfolded")
1. is a terrible option.