I'm assuming you drink enough to get to the same level of drunkeness with all of these.
Beer is generally pretty bad. It dehydrates you. I actually saw a test on TV where people that drank beer urinated more liquid than they consumed, meaning the beer was actually taking water out of the people.
Wine, especially red, can be bad.
Rum is pretty bad for hangovers generally because it is full of sugar, not to mention you usually mix it with sugar filled drinks.
scotch/rye/whisky are I would say middle of the road, not pure but not too bad.
vodka, good vodka anyway, is the most pure of the popular spirits, followed closely by gin. The three best drinks I have found that will get you wasted sans hangover: mix either vodka or gin with soda, gatorade, or acai. I like mixing them strong (doubles with packed ice), some people don't.
Apparently if you get really good saki you can drink as much as you want and not get a hangover. I have yet to find this saki though.