Saving variables problem

im working in Visual Studio right now and im wanting to know
Im making a program based game

What i was wanting to know was, how should i save the stats and everything?
should i save them in a txt(i tried, it might take a loooooong time)
should i save it to a MySql Database
should i have it upload to a txt on a server?

Which one should i do?
and whichever one, do u know how i do it?