The fastest and most convenient is clearly cab, by a massive margin. You get in the cab, it takes you where you want to go, you pay and leave.
The Mears shuttle is not always cheaper. It's generally cheaper than a cab for one or two people, a little cheaper for three, and more expensive for four. It was $19 plus tip per person round trip, and I could have sworn I read that it was going up to $21 in 2014, but I could be wrong. For comparison, a cab is usually $30-35 one way plus tip, depending on traffic and specifically where you are going to and from.
The Mears shuttle is much less convenient than a cab, and depending on your situation might be less convenient than a rental. You have to pre-reserve it, it only goes on their schedule, not yours, and you share it with multiple people, who may need to be picked up from various hotels.
For one-way travel, like if you've been staying at Universal and now want to move to WDW for the rest of the trip, a cab or rental car is clearly better, because the Mears shuttle is only round-trip and won't carry luggage.
The cheapest option is often (but not always) renting a car, depending on how many people you have. You can often get a one-day rental for $40 or less (sometimes much less). If you are using it to get to another park for one day, you have to add $15 for parking and maybe $8-10 worth of gas.