When you invest in gold, no matter which of the investment vehicles listed above you use, you are placing a bet on how the price of gold will vary. Generally gold is viewed as the antithesis of fiat currency. So when the dollar goes down, gold will generally appreciate.

Buying gold coins or bars is probably the least advisable idea. From a logistics point of view you will have to find a reputable company to buy the gold from, have it shipped to you, and store it in a safe location. That's a lot of unnecessary work.

Buying a gold ETF, like GLD, will provide all the same benefits of owning physical gold with none of the logistical problems. GLD trades at 10% of the market price of gold. You can buy/sell as many shares as you want whenever you like.

Buying gold mining stocks is the riskiest decision out of the three listed. Not only are you betting that gold will appreciate (if you are long the stock), but you also take the risk of the fundamentals of the company. So if the company is run inefficiently or has other problems the company's stock may decrease even if gold appreciates. Conversely, if you find an excellent company, with strong fundamentals, you will receive certain benefits. If gold appreciates and the company is strong this will presumably be reflected in the price of the stock. Even if gold depreciates, a strong company, may not see the same drop in stock price as a poorly run company.