USB would be "cheapest", if WIFI and Bluetooth radios are turned off, and the phone is already charged and the display stays off.
However, plugging in an iPhone in particular causes the display to go on bright and stay on, and that creates a significant current draw. Other phones may behave differently. [NB: Actually, I discovered that this was because the phone was simply set to not turn off the display.]
Bluetooth would be the second choice, especially if you can turn on Bluetooth without WIFI (which is a bit of a trick, since they share much of the same hardware).
If you need WIFI on for other reasons then it probably doesn't matter much between WIFI and Bluetooth.
Added: As I stated above, I discovered that the iPhone display problem was simply a settings problem. Fixed that and the display turns off after the timeout. So the USB tether should always be the lowest current option, if you can turn off the radios.
Are you sure about that? Wi-Fi signals are an order of magnitude more powerful than Bluetooth (the same data rate that's transmitted at 80mW on WiFi is only transmitted at 2mW on Bluetooth). The reasons are obvious as Bluetooth is designed to be low-interference and short range. – Lèse majesté – 2012-04-22T04:17:24.420
@Lèsemajesté, sure about what? You probably have misread my answer, as I'm stating basically the same. In fact, SoftAP (WiFi tethering) might consume up to 3x more than in station mode. – Andrejs Cainikovs – 2012-04-22T13:17:52.467
I guess I did. I wrote that comment before Spiff's edit, when your answer read "SoftAP eats far less in terms of power consumption if you compare it with Bluetooth". Not sure how I glanced over your first paragraph though... – Lèse majesté – 2012-04-22T13:30:54.167
Ough.. I see now. Yes, this is what I actually meant :) – Andrejs Cainikovs – 2012-04-22T13:32:43.307