Among the years, hundreds of predictive techniques have been developed. They all have their advantages and drawbacks. There is no best choice that covers all data mining applications.
Usually, the choice of the predictive algorithm depends on one (or more) of the following factors:
Accuracy in the current context (after trial and errors compared to other algorithms)
Best [...]
If you ever worked on time series prediction (forecasting), you should read Dance with Chance. It is written by a statistician, a psychologist and a decision scientist (Makriddakis, Hogarth and Gaba). As it is the case in The Numerati or Super Crunchers, authors explain complex notions to a non-expert audience. I find the book really [...]