<p>I have parsed XML using both of the following two methods...</p>

<ul>
<li>Parsing the XmlDocument using the object model and XPath queries.</li>
<li>XSL/T</li>
</ul>

<p>But I have never used...</p>

<ul>
<li>The Linq Xml object model that was new to .Net 3.5</li>
</ul>

<p>Can anyone tell me the comparative efficiency between the three alternatives?</p>

<p>I realise that the particular usage would be a factor, but I just want a rough idea. For example, is the Linq option massively slower than the others?</p>

I haven't actually tested it, but Linq is primarily a compiler code-gen type feature, and so it should be comparable to using an XmlDocument and XPath queries.
The primary value of Linq is that it provides compile-time verification of your query statements, which neither XPath nor XSLT can provide.
I would think that if performance is a concern, your decision would be based on the task at hand.  For example, retrieving a single value from an XML document might be fastest using a single XPath query, but translating XML data into an HTML page would be faster using XSLT.