OFX — the universal base format
OFX (Open Financial Exchange) is the open standard that the other two are built on. It's plain-text and widely supported by GnuCash, many accounting tools, and personal-finance apps. If your software 'accepts OFX,' plain OFX is the safe choice.
QFX — OFX for Quicken
QFX is Intuit's Quicken-flavored OFX. It's structurally OFX plus a few Intuit-specific fields (including a bank identifier) that Quicken expects. Use QFX when you're importing into Quicken specifically.
QBO — OFX for QuickBooks
QBO (Web Connect) is the QuickBooks-flavored variant. Like QFX it adds Intuit fields and the INTU.BID bank identifier that QuickBooks uses to recognize the account. Use QBO when importing into QuickBooks.
Which one do I need?
Importing into QuickBooks → QBO. Into Quicken → QFX. Into anything else that lists OFX support → OFX. If a QBO or QFX import warns about an unrecognized bank, set the correct INTU.BID and re-export.