Chocobo =
1. Get there fast without teleporting
2. Fun and enjoyable aspect
3. Happy music

Teleporting =
1. Get there NAOW!
2. Allows groups to do a large amount of things in a short amount of time
3. Convenient for teleporting to and from a city for repairs whilst in the middle of a leve etc.

Running =
1. Get to admire the scenery
2. Allows for plenty of time to chat in an LS inbetween doing things
3. Best way to save anima in case you do need to teleport for some reason in the future

Downside to running:
Person 1: "Hey, we're gonna go do a dungeon, wanna come?"
Person 2: "Sure, just give me 20 minutes to run there"
Person 1: "Nevermind"