I prefer the Arena as its friendlier and no fees. I will admit its slower paced but I also find if I want a straight out price for a pony I get it easier on the Arena; people want bargains on ebay, people on the Arena know the value of ponies. If you want a quick sale however ebay is the way to go.
As for FB, just personally I dont like selling or buying there. You really have no clue who you are dealing with - no feedback, no evidence of who the people are. But I know a lot of people have had it work for them - so as long as you do it with caution I am sure you will do great.