I vote personally for intangibility

All can be just as annoying as the other.

Teleportation can be irritating someone could just kill you by teleporting an other objects in to your body like a golf ball in your heart

Intangibility is annoying but you might avoid the person by running away it does have limits

Invincibility is easier to defeat just have a gun or bomb or flamethrower they are invisible not indestructible