They’re all generally fine. WiFi thermostats open up more security holes than the others because they are designed to be chatty. I have an ecobee WiFi thermostat that’s isolated to only talking to HA locally using the HomeKit integration, which is fine, but I can’t say I’d recommend it.

When I set up my thermostat the ZigBee/Z-Wave options were quite frankly ugly and had limited wiring compatibility. Nowadays there’s a bunch more options on the market - you should be fine finding what you need anywhere.

ZigBee/Z-Wave/Thread are all pretty comparable, so I’d go with whatever you already have on your network - me personally I’m all in on ZigBee right now so I’d probably get one of those.

If you’re undecided, HA newest official hardware supports ZigBee & Thread so I’d go with one of those.