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Well Stand-alone is only when you are creating a single box with its own SQL Express, that one is pretty clear.
As for WFE and Complete, it would seem that the best practice would be to install your WFE servers as WFE and your Application server as Complete.
But I would not suggest doing that. The thing this window does not tell you is that a Complete installation can easily be reduced to just a WFE, but you may decide that your Web Front Ends should also query the index. There is also a chance that during the development cycle you may need to run everything on one server that will be a WFE ultimately, but needs to stand in for a while as a complete server.
I always install all servers as Complete, then go and turn services on and off in the administration tool later.
FOOTNOTE: This is no longer a confusion with SharePoint 2010 which has more intelligently limited the options to Standalone and Server Farm.