This is what I've found:
Wi-Fi will provide you with the fastest connection, and a more reliable one than Bluetooth. That being said, it will be the biggest battery suck of the three available options, especially when you're tethering more than one device.
You'd only want to use Bluetooth tethering when you want to conserve battery on the device with the connection (iPhone or cellular iPad). It's fairly slow, and you'll only be able to connect one device at a time. All that and, unless you have an older iPhone or iPad, Bluetooth tethering is fairly superfluous.
If you're in a pinch, though, it'll do.