I like doing the Cloze tests because a) it's easier to translate from the foreign language into your own, but more b) because you can see the words being used in context and I think that makes it easier for me to remember them.
Then again, I like doing flashcards set to my native language on the front, so that I have to produce the foreign language. To me that really kinda proves that I know and have learned the vocab.....whether it stays in my long-term memory is another matter!
I haven't actually tried the other options, dictation and multiple choice.....don't like the sound of multiple choice as it reminds me too much of school! :)
The more I do the cloze tests, the more I think they're gonna be a good method for me because you're not just reviewing the word you're trying to remember, but you also end up reviewing a lot of the other words that were in the original sentence, so it's win-win! :)