Well, it really depends on how you sail, like Admiralsavvy said.
-If you like ducking in and out of shots so they don't hit you, stick with a sloop, light if you have patience, war if you like to get big jobs done quickly.
-If you like getting sunk, take a war galleon.
(Sorry, I don't know if this proves true with the new updates, but sailing before I'd sink like crazy when getting shot in the front.)
-In all seriousness, if you like to use broadsides as your primary means of sinking enemies and want the largest haul you can get, buy a war galleon, or the galleon of your best class.
-If you like to have a large crew and a balance of broadsides and speed, use the war frigate. If you can get a big crew together and sail on the frigate of your class, you can very easily sink ships faster with one of these than the frigate.
Like said, it depends. I prefer the sloop, but that doesn't mean it's the best ship for you. Experiment, explore, learn: that's the best way to go about choosing a ship.