I've done all of the above, with mixed success. A lot of the time it can come down to the type and weight of your fabric. Even when you use the pinking shears, some fabrics can still fray a little once you wear and wash them, but going to the trouble of binding seams can sometimes create extra bulk which isn't great, especially when you have a light delicate fabric. I think my favourite is defiantly the french seam. It makes the edges on the inside of the seam quite narrow and as there are no raw edges it looks really slick and neat.
Here is an example of using the simple pinking shear method. All you have to do is stitch your seam and make sure your happy with it before trimming the edges with the shears. It's tricky to unpick and redo a seam once you have timed the edges (voice of experience!). What you end up with is a zig zag edge that helps to minimise the fraying of the edges.
The more time consuming, but much neater options are french seams and bound seams. I combined the two techniques on this dress I made last week and I'm really pleased with the results. Check out the Coletterie blog for this great tutorial on french seams and this one on bound seams. For my dress I used a light colour bias binding for the edge of the zip and main garment seams and a contrasting pink bias binding for the edge of the facing.
The overall effect of neat seams makes the dress much nicer to wear, even though no one else can see the seams - I know they are good on the inside!
Of course of you have an overlocker/serger then you can blitz your seams off quickly, but don't rule out the alternatives, it can be a really lovely way to add a bit of colour or contrast to your garment and make it even more extra special.
Don't limit your french and bound seam to clothing, I've used both techniques on the inside bags and cushion covers before as well.