For players in established Settlements this is usually going to be the best option. It's not easy to identify the best prices in a complex economy, so you'll usually just want to deal with local merchants you can trust. There are no hidden fees or Logistics Costs here, just the Tax Rate your Government decides on.
Trading on the 'World Market' means dealing with somewhat questionable neutral merchants. The 'Logistics Cost' for doing business in this way represents losses, thefts, tariffs, banditry, and outright corruption that might decrease your profit margins. The advantage, however, is that everyone in the Game can see your offer!
The number of Trading Ports and other mercantile buildings your Settlement possesses determines how many offers you can place, and your Guile attribute can significantly reduce the Logistics penalties for trading in this way. Be warned, however, as your Government can impose different taxes on World Trade and might be looking to recoup the costs of Infrastructure.
Military forces occasionally find themselves in need of some 'Hired Help'. The Military Market allows Sovereigns and Ministers to 'Sell' units to their Citizens and potentially deregulate military activity. 'Units' that have been Recruited (Publically or Privately) may be placed for Hire here, and if 'Purchased' will join the 'Buyer's' Retinue. Settlements with a 'Defensive Pact' or better Diplomatic Relationship may link their Military Markets, allowing for the cross-Settlement trading of Units.
Settlement Governments wishing to decentralize ownership of property can Sell Buildings or Plots on the open Market. This allows Citizens, Residents, or even Visitors to invest in the Settlement and take on some of the Managerial responsibility for the Industry there. Building owners can manage production, employment, and Upgrade their buildings. If raw Plots are sold, the owners may construct any building they wish, and can contribute to the Settlement's Economy freely!
From opulent Ships to humble wheeled Carts, the Transport Market will allow those producing Vehicles to sell them to Residents for use in Commerce or as Personal Vehicles. This can make independent trading much more effective and provide a powerful economic outlet for Settlements that wish to craft Trains, Carts, Boats, and Ships for Military and Commercial purposes.
The Premium Market is a place to Buy and Sell resources for the 'Premium' currency of the game. This market ensures that the overall prices have 'Bumpers', and allows players to exchange surplus resources for Platinum that can be spent on other resources or Bonuses. The Premium Market adjusts in response to sales, and is beneficial without being exploitable.