Having used everything except for esbit, I think the other posters here covered it well. It all depends on what you prefer, and your hiking style (i.e. how often you cook, what you cook, length of trips, etc.).
Me personally, I prefer a canister stove for the convenience. I have used alcohol a good bit recently, and although it is fun and quiet it is does not have a decided weight advantage for me over using a canister stove for the type of trips I do. So, if I have time to fiddle with the alcohol stove I carry it. If I am pounding out mileage and want to be able to cook fast I prefer the canister. I should also mention that I normally only boil water.
As for the windscreen debate with the canister stove, my hiking bud carries a piece of aluminum flashing that he puts down around the stove. Hasn’t had a problem with it yet, and I’ve used it some without incident. I don’t normally use a wind screen, but if it’s really windy and I can’t get the stove sheltered I used my foam sleeping pad. Held far enough away from the stove it will not be affected by the heat. I would recommend policing it though as one time I tried to prop it up on something only to come back a short time later and find it leaning against my pot. How it didn’t melt any part of it I don’t know (I must have caught it right after it fell).