personally i'd suggest (for readability):
$('<div>');
some numbers on the suggestions so far (safari 3.2.1 / mac os x):
var it = 50000;
var start = new Date().getTime();
for (i = 0; i < it; ++i) {
// test creation of an element
// see below statements
}
var end = new Date().getTime();
alert( end - start );
var e = $( document.createElement('div') ); // ~300ms
var e = $('<div>'); // ~3100ms
var e = $('<div></div>'); // ~3200ms
var e = $('<div/>'); // ~3500ms