So games come out in a number of different formats.

Which is the most secure to protect against the game being pirated?

Activation Code? DRM Software? Console Game Disc? Cartridge? etc...

Which is best and why?

Games will always be piratred it will never be stopped for those that are determined to do it.

We have all those and it is still present so what does that tell you about the current methods?

Steam is probably the most effective currently, even though in the long run it doesn't do anything to deter pirates.

DRM is essentially about protecting the profits of the developer and not so much the game itself. To that end the best method is no DRM and competitive pricing. No DRM because it just punishes lawful users with intrusive and frequently failing technology, and competitive pricing because if you offer the consumer something they want at too high a price they will find another way of obtaining it. Now no-one can compete with free, but a company can offer more in terms of added value that cannot be had with other methods of obtaining a product.