Speaking from experience:
Cigarettes: They suck, they leave a bad taste in your mouth and there is no real effect either. Just looks cool sometimes, specially those X-tras - black with cloves. But who wan't to do it just because it looks cool? No.
Alcohol: The legal "drug" is just plain stupid. It's obvious our bodies weren't designed to intake alcohol. Lots of awful side effects, kinda makes you a jerk too. The hang-over is an awful feeling, and throwing up is just stupid. It's good to experience is once. That's it.
Weed: Not more dangerous then the other two, just outlawed for political/business reasons. The total effects have not yet been researched, but overall it's a relitivly safe drug. The most fun out ot the three, you don't have a hangover. It can hurt your respitory system if you are not used to smoke. Best when taken moderatly, you can cool the smoke down so it doesn't burn your throat, use an iced cup, or eat it in food. The high is awesome, but the fact remains that it's still bad for you. However, the best bang for the buck with the least side effects. Can also help you comprehend the complexity of life...if it's good weed, or just make you go stupid if it's bad weed. Either way you'll laugh your ass off, and gain a few pounds from junk food. Music is awesome too when you are on weed, and food tastes great. If you haven't done it give it a try, it's not addictive either. Just plan it out, don't do it becuase you are a loser and have nothing better to do...which is why most people do it. Don't over do it either.
Hard drugs: I personally have never tried these and don't plan to becuase of the danger involved. Stay away.
Right now, the only drug I would do is weed, but only a couple times a year, that is if I had a hook up, which I don't. Otherwise, the other two are a waste of time.