There have been tons of threads discussing some part of this question, but most of the time it boils down to the end user accuracy requirements first, then what you feel like sinking into the project.
If you need high accuracy, you need precision ground ballscrews. This is the ultimate solution, and also the most costly. It provides you with a known pitch accuracy, over quite a decent distance, and has the potential for eliminating backlash, yet allowing high speed motion without undue friction, or rapid wear on the screw.
Then, comes the rolled thread products, starting with rolled thread ballscrews, which are formed entirely by squeezing the ball race profile into the screw, using hardened master rollers, perhaps an inch or two wide. This is a less controlled process, so the pitch of the threads may accumulate to considerable error over a long length of the stuff. Because of the tolerances, this grade of ballscrew must be assembled with greater clearance, so there is a slight amount of backlash built in. With crafty engineering, some of the guys eliminate most of the backlash with fancy nut designs, however, the accuracy is still not there, because the screw still floats in the spring-loaded nut.
Next, the acme rolled screw. This is likely one of the most popular screws for a machine with modest accuracy requirements. Again, fancy ideas for reducing the backlash have been laid out in many threads here. The bad thing about this might be in heavy usage, the wear of the screw and nut would require skilled maintenance to get the best performance out of your machine.
Finally, there is the rolled V thread. Much the same engineering required as using Acme threads. Some guys swear by their delrin nuts (do you solemnly swear, by your delrin nuts, so help you God ).
Fine thread, coarse thread, it may depend on what kind of motor speed and torque you have available. The pitch selection can help you get the motor speed into the range you have available. Generally, a finer pitch is going to improve the resolution of your stepper/encoder system. It will also reduce the top speed limit of your system.
Its really about a whole lot of compromises, boiled down and rendered by the energy released by burning your bank account