1. Manually walking ebp/esp ; this steps back through the frame pointers, it relies on the callers stack being pushed. This is basically what RtlCaptureStackBackTrace or DmCaptureStackBackTrace does, but you can also just write it yourself very easily. The advantage of this is it's reasonably fast. The disadvantage is it doesn't work on all CPU architectures, and it doesn't work with the frame pointer omission optimization.
2. StackWalk64. This is the new API you're supposed to use. The advantage is it works on all CPUs and it even works with frame pointer omission (!). But you can see from that latter fact that it must be very slow. In order to work with FPO it loads the PDB and uses the instruction pointer map to figure out how to trace back. It also can trace through lots of system calls that normal ebp-walking fails on.
3. Manual push/pop in prolog/epilog. Uses the C compiler to stick a custom enter/leave on every function that does a push & pop to your own stack tracker. Google Perftools has an option to work this way. The "MemTracer" project works this way (more on MemTracer some day). The nice thing about this is it works on any architecture as long as the prolog/epilog is supported. The disadvantage is it adds a big overhead even on functions that you never trace. That rather sucks. Stacktraces are very rare in my world, so I want to pay the cost of them only when I actually do them, I don't want to be pushing & popping stack info all the time.