Regular thimble (open or tube/closed) = cheapest, must use shackle to attach to an anchor, will pull through a fairlead without a shackle on the end. Can crush under pressure if it does not have a gusset. $10-25 depending on type of thimble, open, tube, or gusset.
MasterPull Winch Stop Thimble or Viking Safety Thimle = more $ but won't pull through fairlead, also has 'bling' factor for a nice machined aluminum piece. Must use a shackle to attach to an anchor. $55-65 ish.
Sling hook = more $ than regular thimble, little more than winch stop/safety thimble when combined with regular thimble. Easier to use and attach to a strap, etc as you don't have to have a separate shackle. A popular option. Make sure the hook is sized properly. I've seen many on lines that are too small. $55-70 depending on how it is spec'd (size and manufacturer of hook, plus cost of thimble). Add a few $ more if you use a connector link and not just a thimble.
Safety hook = stays closed under pressure so can be safer than a typical sling hook. About twice the cost of a sling hook. Need to keep the joint lubed. $90-115 depending on size and manufacturer of hook, also type of thimble used.
My preference is a good 'ole sling hook. It is versatile, quick to use, and low maintenance with a fair price. Add some safety factor and go for a safety hook or a winch line stop/safety thimble. Save some $ and go with a regular thimble and a shackle you already have.
I've been meaning to do a write-up on this. I'll try to get that done ASAP.