WEP, WPA, WPA2 are forms of security used by wifi routers in-order to protect your data from hijackers. So understanding what these are, and deciding which security to use is a crucial point for your security.
WEP(Wired Equivalent Privacy) is the wifi security protocol that is widely used in the world and it was first used back in 1999. Various changes were made to WEP by the introduction of newer technologies like 128-bit and 256-bit encryption. But despite having received many updates and increased key size i.e. 256-bit encryption, more and more security flaws were discovered in the WEP protocol. As computers became more powerful, exploiting these flaws became easier. FBI is trying its level best in awarding the public about how unreliable a WEP security is, and is advising everyone to change it to better security protocols like WPA or WPA2. So my personal opinion is to never go with the WEP protocol while setting up a wifi router.
WPA(Wi-Fi Protected Access) was introduced because of the failure of WEP. WPA uses 256-bit based keys for further protection instead of the 64-bit and 128-bit keys used in WEP. It has some great changes over the latter by including Temporal Key Integrity protocol which determines whether packets have been captured which was passed between the access point and the client. But the use of Wifi Protected Setup(WPS) made WPA exploitable and TKIP also had some flaws which made the WPA unsafe. So in my personal opinion, WPA is a better option compared to WEP, but we have WPA2 so why go with lower level security systems and take unnecessary risk.
WPA2(Wi-Fi Protected Access II) commonly known as the second generation of Wifi protected access developed by Wi-Fi Alliance( a non-profit organization that manages the Wi-fi technology and certifies Wi-FI products). WPA2 replaces the TKIP with Counter Cipher mode with Block Chaining Message authentication code Protocol or abbreviated as CCMP, but TKIP is still used as a failsafe backup method for CCMP. Another great improvement was the mandatory use of Advanced Encryption Standard(AES).
IN WPA2, the protocol first ensures that all the connected devices are on the same page with the correct password by using a process called four-way handshake, then encrypts the data while transferring it, and decrypt it after reaching the other end(client) thereby avoiding middle-in the man attacks from hackers. So for the question, while configuring a wireless network go with the setting: 'WPA2+AES'.
Extra info: In January 2018, Wi-fi alliance has announced the latest security protocol WPA3, which of course brings in more security like the 192-bit individual user encryption to protect our networks from the advancing wireless data hacks. But don't expect to have routers with WPA3 soon, it could take even years to get both the routers and our smartphones and PC's to be WPA3 certified.
So stick with WPA2, because it's the best you can get right now.
Deepak Mathews Koshy