In Oblivion I preferred Frost damage, liked how it dropped enemies there and then and how cheap it was to cast. Of course, bad idea against Undead, but for 'generic' enemies a powerful Frost spell could ruin someone's day.
The relevant perks:
Fire Damage spells do more damage.
Frost Damage spells do more damage.
Shock Damage spells do more damage.
Shock spells may disintegrate targets if their health is under 10%.
Frost spells have a chance to paralyze targets if their health is low.
Fire spells can cause wounded enemies to flee.
Frost Damage spells do more damage.
Shock Damage spells do more damage.
Shock spells may disintegrate targets if their health is under 10%.
Frost spells have a chance to paralyze targets if their health is low.
Fire spells can cause wounded enemies to flee.
http://www.uesp.net/wiki/Skyrim:Destruction
The new effects of elemental magic - take note, as it's been reworked since Oblivion, particularly costs.
Shock damage is cheapest in magicka cost, but is weaker. However, bolts can jump to enemies, drains magicka and does bonus damage against Undead.
Fire damage is most expensive, but causes continuous damage and can set the environment on fire. Dragons however are resistant to it.
Frost damage is in the middle in terms of magicka cost, but slows down enemies and drains fatigue. However, since we're in Skyrim I'm imagining many enemies will be resistant to it.