Personally I like the freeze branding the best. It doesn't really hurt the horse, and potential theives are wary of brands. A microchip, is useless unless you know it is there. For example, if a thief steals a horse with a freeze brand, (or any other type brand) then sells it to a kill buyer or takes it to a slaughterhouse, they are supposed to check all branded horses before killing them to be sure they aren't stolen. But, they don't check for microchips.
So unless you were to find your horse in someones pasture or something and you were to say,(for example) "that's my horse and I can prove it, it has a microchip!" then it doesn't do you any good.
I guess the best protection would be a brand AND a microchip. Freeze brands aren't that expensive. Around here they cost between $15-$25 for one.