I know this wasn't the answer you were looking for, but it depends...
Here's my take on each language (someone correct me if I'm wrong; I probably am )
ASP - Only works on Windows NT Servers, and is therefore less secure...supposedly capable of everything PHP is, and is very good at handling database work...support for it is good, and there are a significant amount of scripts in circulation for it...
PHP - Cross platform, and open source...big advantage there. Support is better, and ditto on the number of scripts in "circulation"...connects to MySQL very easily...highly similar to Perl.
Cold Fusion - The easiest language of the 3 to learn...great for throwing database info on the web quickly and easily...more like HTML than a programming language from what I hear...however it only works on NT Servers and is NOT open source...support is low and there are very few scripts floating around...a fine language...if it ever catches on at all I'll definetly take the time to become familiar with it.
The cookies and GET and POST form data is all in variables like: $firstname, where firstname is the name of the textbox. Automatically, too.
PHP can retrive records from a DB in 6 or so lines; ASP takes more. PHP has one set of functions for all SQL work...ASP has the RecordSet, Connection, and the Command objects.
PHP is available on nearly every platform that has more than 3 worldwide users (therefore, no support for OS/2 Warp I believe ). ASP is for Windows, a stripped-down version for Mac, and an expensive slightly-stripped-down version for *nix/*BSD/Solaris.
ASP is closed-source, PHP is open source. If you're a coding junkie (or just want some new lightning fast functions) you can hard-code custom stuff into the PHP executer. And PHP is compiled (at runtime) so syntax errors are caught immediately. Plus the Zend Optimizer is cool.
And, umm..did I mention that once you've got hardware and an Internet connection, you can have PHP? No need to pay $999 for NT server, $1320 for licenses for NTServer, $4700 for Exchange, $3350 for Site Server, and $3365 for SQL-Server. I can replace the above with: Linux, Apache, qmail, Apache, MySQL, respectively. Cost? Zippo (or if you buy Linux boxed, maybe around $30). For the Microsoft way? Oh...not much either...just a small $13700.
ColdFusion is costly too, but I'm not going to even pretend like I know anything about it cause I don't.
I have used Cold Fusion for a while now and although I'm certainly not an expert I managed to do everything I wanted; Banner Rotation, Tell A Friend, a Poll, Newsletter subscription and mailing list and so on.
You can find many free 'scripts' or 'apps' around the net and once you get a hold of the 'language' it's not that difficult to build your own apps.
I have to agree that CF is not free. You will need to have Cold Fusion Server running on your webserver. For pricing check http://www.allaire.com
The good news is that it is no longer a NT only things as a Linux version has just been released.
I am working on Sun Solaris running Cold Fusion 4.5, there are many people who run different flavors of *nix that use Cold Fusion. Its not very common, but most definitely possible and works wonderful.
I am planning to learn PHP and ASP when I have more time. All three are good to know IMHO.