Depends on the game/boss/situation. For CV1 and 3, broken ass holy water all the way (though the axe is very, very handy if you're doing an only-Trevor or Grant run in 3). In Dracula XX the axe hits pretty hard and works miracles on Dracula himself. In CV4 the cross is just slow enough so that it hits many times and the triple shot basically guarantees bosses dying in less than five seconds. But they're just different enough that their usefulness varies between games. I've gotten good at some of the games to the point where I finish levels not having used any hearts except against the boss.
I can only really say that the knife is NOT my favorite. At least the stopwatch saves your ass in block 6 of CV1, useless though it is in almost every other game. Pretty much anything the knife can do, the whip does better up-close.
For all-around utilitarian use, I'd say the axe because I fucking hate flying enemies with a passion.