There are many different type of RF networks with various advantages and disadvantages. The main things I consider when choosing a wireless communication method are network topology, data rate and power consumption.
High data rate (54Mbit/s +) but also high power consumption. Used when you need to connect directly to the internet, such as an internet-of-things device, and have an external power source.
Low data rate (250kbit/s) and low power consumption. Used to make mesh-type sensor networks; each XBee device can communication with each other, and through each other via the mesh to devices that are out of range. Used for networks of devices, particular home automation and sensors. link.
Medium data rate and medium power consumption. IEEE standard has different device profiles to enable interoperability between devices. 'Pairing' type network however, so not useful for sensor networks, but good for controlling devices using a laptop or phone which usually have Bluetooth on board. Communicates with Arduino via serial RX and TX pins. link.
Bluetooth Low Energy, ANT, etc:
Very low data rate and very low power. These RF chips can run for years on an AA battery and so are used for things like heart rate sensors. The data rate is quite low so only good for transferring a small amount of data such as sensor readings. Most devices are setup as peripherals and can only connect to one 'central' device, so no good for sensor networks. Bluetooth low energy is supported by the latest mobile phones and laptops however. Useful to enable control of a device using a phone or laptop, for example a LED lamp. (See redbearlab for some Arduino options)
Phone connection. TODO
nRF24L01 / RFM12B / RFM22B(SI4432)
Popular proprietary transceivers. They can connect via SPI and have a lot of fancy features like low power modes, multiple channels, channel hopping, frequency calibration, CRC, retransmit and so on. The nRF24L01 from Nordic Semiconductor link operates in the 2.4GHz band, others use the ISM band 433/470/868/915Mhz.
These are todays state of the art highly integrated and low cost hardware for reliable telemetry and consumer applications. The range is between 10m and 150m. The SI4432/RFM22B has the range of about 1.5Km.
Other RF modules
Simple and cheap serial devices. Single transmitter/receiver or transceiver that operate in the ISM band link. Often used as garage door opener. Useful for sensor network where interoperability with other devices is not required and you can implement your own protocol. link