I would have to say Ultimate because I like the photography better even though there are fewer autographs. Also, Ultimate Collection has a lower print run as well as being hard signed.
I'd say Sp Authentic would be next in my mind. Nice cards, lots of autographs, but at the same time, many photoshoot shots. If you don't mind that too much, it's a great set to collect.
Spx, they seem to get less appealing every year...there's too much emphasis on the huge "X" leaving space for all of Gretzky's two eyes. The designs for the 05-06 Spx set were also not so sharp.