It depends. Really.

It'll vary with the size and complexity of what you're doing. Simpler queries will probably be better kept in one or with CTEs (if it makes things easier to read). More complex ones may benefit from being split up and run in bits.

The major difference that you must realise is that temp tables and table variables are both physical structures - they both store the data in an intermediate state. CTEs are not tables, they're just named subqueries, so they're not splitting out the processing, doing some now some later. It's still a single query.

Table variables, because of no statistics, can often be problematic on larger row counts (where anything over a couple hundred is probably large)