I am not so certain that there is a generic "best way" to choose between component selections. There may be a best way for your specific application and only you can determine what works for you. That said, there a multitude of ways that this can be done. Here are a few examples:
rotary switch
dip switch
header with jumpers
alligator clips
analog switch
digipot
decade capacitor
fahnestock clip
mechanical relay
soldering