The Dropship is the second fastest, and Overlords are the slowest even when after they receive the Pneumatized Carapace upgrade. Terran Dropships can be repaired very quickly with multiple SCVs. Protoss Shuttles can have their shields recharged with a Shield Battery, but they can never repair hit point damage. Zerg Overlords can completely regenerate their health, but it takes quite a while. Zerg players usually have enough Overlords that they can simply grab a fresh, uninjured group and allow damaged Overlords to heal.
Transports are capable of delivering ground units anywhere where there is room to land.
Keep this in mind when building your defenses and looking for weak spots in your opponent's towns. Be sure to keep your entire base protected by anti-air defenses, as well as ground troops to kill off any enemies that do manage to drop in. Transports unload units one at a time at a very slow pace. It is best to unload units in areas where they will not come under attack. You will find that if you send transports into a hot zone, you will only get 1-3 units unloaded before your transport is destroyed.