I am of the opinion that this is based on user preference. As such, there are many options at your disposal and it depends on the flavour you're interested in. Personally I prefer options two (>) and four (→).
However, menukeys provides an easy way to switch between formats. Here's an example taken directly from the menukeys documentation where you can also find other ideas for tweaking the output:

\documentclass{article}
\usepackage{menukeys}% http://ctan.org/pkg/menukeys
\begin{document}
To set the unit of the rulers go to \menu{Extras > Settings > Rulers}
and choose between millimetres, inches and pixels. The short cut
to view the rulers is \keys{cmd + R}. Pressing these keys again
will hide the rulers.
The standard path for saving your document is \directory{Macintosh HD/Users/
Your Name/Documents} but you can change it at \menu{Extras > Settings
> Saving} by clicking \menu{Change save path}.
\end{document}
A less graphical way of dealing with this could be via a standard list-processing package like etoolbox:

\documentclass{article}
\usepackage{etoolbox}% http://ctan.org/pkg/etoolbox
\newcommand{\menu}[2][ $\rightarrow$ ]{% \menu[<separator>]{<csv list>}
\def\listitemsep{\def\listitemsep{#1}}% Delayed definition of list item separator
\renewcommand*{\do}[1]{\listitemsep\textsf{##1}}% Item format
\docsvlist{#2}% Process list
}
\newcommand{\keys}{\fbox}
\newcommand{\directory}{\texttt}
\begin{document}
To set the unit of the rulers go to \menu{Extras, Settings, Rulers}
and choose between millimetres, inches and pixels. The short cut
to view the rulers is \keys{cmd + R}. Pressing these keys again
will hide the rulers.
The standard path for saving your document is \directory{Macintosh HD/Users/%
Your Name/Documents} but you can change it at \menu{Extras,Settings,
Saving} by clicking \menu{Change save path}.
\end{document}
The above code uses a delayed definition of the list item separator to accommodate only setting separators between elements.
Of course, expl3 provides similar list-processing capabilities using xparse.