What are you planning to use it for? Thunderbolt is an external standard, and is thus not really comparable to the other two. Sure, it's fast (more or less external PCIe), but requires an external chassis and adapters for whatever you attach. M.2 is a form factor, nothing more, and can accomodate both SATA and PCIe SSDs (and PCIe can be both PCIe 2.0 x2 or x4, or PCIe 3.0 x4). The latter is the fastest storage solution available as of now. You should also factor in the arrival of NVMe SSDs - PCIe-connected drives that ditch the old AHCI standard for a newer, faster connection that is more suited for IOPS.
Depending on your usage, the two fastest drive out there (outside of enterprise solutions) are Samsungs SM-951 (m.2 form factor, hard to find, but possible to get, AHCI-based (an NVMe version is coming)) and Intels SSD 750 (NVMe PCIe add-in card or 2.5" with SFF-8639 connector). These are both blazingly fast, but perform differently in different workloads. The Samsung is more tuned to consumer workloads, while the Intel has an enterprise-derived controller, and is thus better suited for enterprise-like workloads.