Interesting that Cryo Cross is mentioned here in a very offensive way, as I often, if I choose Cold, prefer to use it in a defensive formation, allowing the enemy to come close, draw them around the Hero, then annihilate them. However, I do have preference for Light Bomb, as I can then deal an all-offensive, straight from the spot, highly penetrating blow into the enemy formations (try battle 1 of mission 3 in TSoG- you can get all 9 enemies with one Light Bomb).
I find the least practical to be pyro-hail, as it covers the least spaces and has the same reach as Dark Vortex- the only advantage I see to it is the relatively low cost. Still, if one looks at the tiles covered:cost ratio, I am not convinced that this is the best you can get. Dark Vortex is pretty good, as it has good reach and can be used even when the Hero is surrounded, though the soct is starting to get on the high side. Light Bomb is excellent, but has the major weakness of being useless when cornered, and having the highest cost of all- almost a third more expensive than Cryo Cross or Pyro Hail. Cryo Cross covers maximum number of tiles, but has low reach and is the most likely to require a Hero with high hp, as this is one very close-quarters combat attack. Another disadvantage is that you really cannot reach any annoying support units with it, whilst you can do so with Light Bomb (and without exposing the Hero to the enemy as much).