Is it walking, running, biking,skate board, etc?

Well, I'm not an engineer, but I'd say biking. That is, assuming your not totally out of shape and you know how to ride and money isn't a factor (if it is, and the distance is relatively close, it would probably be more efficient to run than bike). Also, you could ride through grass and over bumps and up hills better than with a skateboard if there happened to be any of those. But then again, although not that much of a difference, if some steps came up, you could stop and run down the stairs holding your skateboard or even sliding down the pole or whatever siding if you're that talented while you'd have to carry your bike down or go around the steps. If the terrain was just a sidewalk of some kind, it would probably be as good as a bike....unless that sidewalk is in some big city. In that case, running would probably be better considering how hard it would be with a bike or skateboard and super crowded streets.

I'd like to say 'skipping', well it worked best on the moon.

That depends on what you as looking at as being efficient.

Assuming the definition of "efficient" is getting the most work done for the least expenditure of energy, then riding on an airplane or train or bus driven by someone else is probably the most efficient way to transport your body (you're getting motion without any expenditure of your energy). If you are asking for the most efficient use of natural resources, then that's probably biking or walking. The most efficient use of energy in total (human or other) is probably going to be a solar powered vehicle, or floating down a river with out any propulsion or direction from you.