What are they, which should I choose?

IMPORTING METHODS

Without even digging deep here are 8 ways to import data. Note not limited to these.

• make.powerapps.com => Dataverse => DataFlows
• make.powerapps.com => Dataverse => tables => Account (example) => Data => Edit Data in Excel
• make.powerapps.com => Solutions => <mysolution> => tables => Account (example) => Data => Edit Data in Excel
• D365 => Advanced Settings => Data Management => Imports => Import Data => csv, txt, xslx and zip
• admin.powerplatform.microsoft.com => <environment> =>settings => Data Management => Imports
• admin.powerplatform.microsoft.com => <environment> =>settings => Data Management => Data Import Wizard
• D365 => <Accounts > => Export to Excel => Open in Excel Online
• D365 => <Accounts > => Export to Excel => Import from Excel

XRMTOOLBOX

Xrmtoolbox also has multiple utilities:

My favourite: Data Transporter by Bram Colpaert and _n.EnvironmentComparer by _neronotte get a special mention.

TIP 1:

It is very important to import data with same guids. Some entities more than others.
The tip originates by guru Gus Gonzales:
Use csv import and in the first column include the primary key to map.

Other tips to follow.