Following a question in another thread, I've written the following as a guide:
Optically, assuming the average of each type, optically the best is as follows:
 Extension tube (introduces no glass in the optical path to further degrade the image). Note that there is an argument that because ET's move the lens away from the focal plane, it means that the lens no longer performs optimally as it would have been designed to focus at a specific point, and to perform best at that point.
 A decent teleconverter. Even one with 4 elements/groups should perform better than a close up filter because that only has 1 element. At the apertures usually associated with macro photography (small ones), TCs are generally very good.
 Closeup filters. The two element ones (Nikon's 5T and 6T being the notable ones) are really quite good, otherwise, in general the corners are very soft. Whether this is a big issue for you depends on the type of macros you do.
 Closeup filter. No loss of light, same exposure.
[=2] Extension tube. Loss of light, can be metered TTL. Exact amount depends on length of extension.
[=2] Teleconverter. Loss of light, can be metered TTL. Exact amount depends on amount of magnification. 2x converter loses 2 stops of light, 1.4x loses 1 stop of light.
[Note] Bear in mind again that at the usual macro working technique, light loss might not be a big factor (unless you shoot moving objects) as you'll be using a tripod and cable release, possibly even MLU.
 Teleconverters. Minimum focusing distance exactly the same as the original lens (i.e. not reduced), with full focusing range of the parent lens including minimum to infinity.
[=2] Extension tubes. No focus at inifinity, minimum focusing distance reduced, depending on extension.
[=2] Closeup filter. No focus at infinity, minimum focusing distance reduced, depending on dioptre strength.
How macro you can get:
Depends a lot on your basic lens.
Closeup filter: Works by reducing the minimum focusing distance of your lens, generally irrespective of lens MFD. Hence, stronger effect with longer focal lengths.
Extention tubes: Also works by reducing MFD, but actual reduction dependent on lens FL. The longer the FL, the longer the extension necessary to achieve the same effect. For example, a 50mm extension is required for a 50mm lens to halve the MFD, 105mm for a 105mm lens, etc. Hence more cost effective for shorter lenses.
Teleconverters: Magnification is constant, based on the TC in use; 1.4x or 2x etc. Independent of primary lens.
 Closeup filter. Cheapest.
 Extension tubes. Generally next cheapest.
 Teleconveters. Marginally more expensive than a set of extension tubes for a decent one, buy the best you can afford because optical quality is important.
Weigh all that up and make your decision.