Between the different mediums and apparatuses, not to mention the different techniques from person to person, there really is no best way. You have to experiment, and eventually settle on what you like.
Freehand on benchstones or handstones is often said to produce the best edge, but the evidence to support that sentiment is mostly anecdotal. Freehand also takes the most skill, and much practice is needed before you can do it properly.
The sharpmaker is popular, and with good reason, since it takes a lot of the guesswork out of freehand sharpening. Most of the time it's what I use.
The Lansky system is wonderfully effective when it works. It's not friendly to recurves or tantos, and the first time you use it on any knife takes time to establish a new edge bevel.
Stropping can be done no matter how you sharpen your knives; when the edge is already razor-keen, running it over a strip of leather (or even a piece of cardboard) can help make it even sharper.
One thing that many people will tell you is to stay away from the little (often pocket-sized) sharpeners with v-shaped carbide bits that you simply draw the edge through. These devices sometimes work, but barely, and often they can completely screw up the edge.
You should also get familiar with the different sharpening mediums out there;
Natural stone is cheap and effective, comes in all different grits, but wears out the fastest.
Silicon Carbide is very abrasive and will remove material quickly, but for some reason has a hard time putting a fine, fine edge on a knife. Finish off the edge on another medium in a finer grit.
Diamond-impregnated metal is similar to silicon carbide - great for removing material but hard to really polish an edge with. Also, excess pressure in your sharpening motion may dislodge the diamonds and make the sharpener useless. The advantage of diamond sharpeners is that (unlike stone and silicon carbide) they can be used dry, without oil or other lubricants.
Ceramic sharpeners (my favorite) can also be used dry. They are very effective and long-lasting, easy to clean, and they come in all different grits. The only real drawbacks is that they are expensive and fragile. They shouldn't be cleaned in the dishwasher, and may even break if you drop them.
Good luck.