Perhaps it matters little, but I'm gonna vote #3 on this one.

At first I didn't like it, because I wanted to counteract Gloucester's false reports as quickly as possible, making it obvious that Stephen was both alive and a force to be reckoned with. For this objective, #1 looked best. But then I realized, if Stephen travels quickly with just a few knights, he'll arrive in London as quickly as any news would. Wouldn't it be great to announce that Stephen is not only alive, but back in London and raising an army? Meanwhile, we'd seize some important positions from Gloucester's supporters and secure the southern Marches. All that combined should be enough to sway any wavering vassals to Stephen's side.

Option #1 may seem less risky since Stephen travels with his army, but it could go wrong too. Our army is weakened, and we may face a field battle before we're ready. Also, at our plodding pace, we may not reach London before it falls to Gloucester's men. The city may be able to hold out on its own, but information on the likelihood of this is sketchy.

As for option #2, I fail to see how it's in Stephen's advantage to build up his base in the western lands of Britain, near the Welsh border. It seems much better to try to centralize himself in the east, in the nation's actual power center.