In my stress test, I compressed 464 megabytes of data using the three formats listed. Gzip returned a 364 MB file. Bzip2 returned a 315 MB file. Xz returned a 254 MB file. I also did a simple speed test:
Compression:
1: Gzip
2: Xz
3: Bzip2 (my fan was blowing quite a bit while this was going, indicating that my Athlon II was fairly strained)
Decompression:
1: Xz
2: Gzip
3: Bzip2
Please note that all of these tests were done with the latest version of 7-Zip.
Xz is the best format for well-rounded compression, while Gzip is very good for speed. Bzip2 is decent for its compression ratio, although xz should probably be used in its place.