Depends on what you want, how your camping and how much trouble your willing to go to.
For me if I am tent camping where I have to haul my gear a ways I'm good with a LED pocket lantern. Not a lot of light in the Black Diamond or the River Rock but its about equal to most small pocket pack gas lanterns.
If I'm car camping or using our small camping trailer then the bigger lantern has it all over LED's.
I guess the pros and cons are in order.
LED's, simple to use and run a pretty long time on batteries. Extremely rugged and inexpensive to buy.
cons would be low light output.
All fuel lanterns have mantles that are pretty fragile and most have globes that can be broken easily.
As to the different fuel types.
Propane,
Its very simple with good light and the lanterns are cheap,
the cons are you have to have enough propane bottles with you and they are more expensive.
Kerosene,
I wouldnt even consider a kero wick lamp they work fine but you might as well carry an LED.
Kerosene pressure lanterns are a different story, fuel is cheap, though you will need a small bottle of alcohol; but they make plenty of light. There is a bit of a procedure you have to go thru to light but I find that part of the fun. The lanterns are higher in price but for $70 a new coleman can be had. Ebay they can be had for $30 in vintages from the 60's
Cons would be two kinds of fuel and the procedure needed to light.
White gas/unleaded
Cheap fuel, plenty of light. Lanterns are cheap, $50 to $60 new, ebay has some new powerhouse colemans at under $20 pretty often.
Cons, maybe the fact it is flammable to some folks but if your keep your head outta your orfice your good. Fuel storage may be a problem for some I keep it in a sig fuel bottle when I travel.
Simplicity in lighting.
Propane,
Screw the cylinder on lantern, crack the valve and hold a flame to the mantle when it lights open the valve.
Kerosene,
fill with fuel and pump it maybe 30 times, fill preheater cup with alcohol, light it off and let it burn down to preheat the generator. Usually a minute will do it sometimes less, sometimes more. Crack the valve and the lantern lights at full brightness, then open all the way. Give it another 5 or 10 pumps and your work is done.
White Gas/Unleaded,
fill with fuel, give it 30 pumps or so, crack valve a 1/4 turn and hold flame to mantle. You get a bit of raw flame and smoke until the generator is warmed enough to do its job. Once the mantle glows bright open the valve all the way give it another 5 or 10 pumps and your there.
I use kerosene more than any just because I like the ritual, I have a new Coleman 214 and an old Coleman 237, both work very well. I would stick with Coleman just because parts are easy to get. I'm not sure how easy it would be to find a Petromax mantle in Creede Colorado or Hanksville Utah.