3G:
UMTS is faster than EDGE but is still nowhere near HSDPA. As explained above though, 3G is much more stable than EDGE so you will get a more reliable speed. This is shown by a 3G symbol next to the signal bar.
HSPDA Is the good one. This one supports up to 14.4MB/s. This is shown by a H symbol (on certain ROM's) next to the signal bar.
Personally, I love knowing when I get HSPDA over UMTS since there could be a whole 7Mb/s difference on Three UK, for example; 14Mb/s on Vodafone (some places).