Hello Alexandre ,

There is no rule of thumb that can help you decide which technology to opt
for.
Rather there are certain trade-offs and you will decide what suites you
most. Following is my take on this issue:

Use Sockets communication when:
The relation between client and server is most intimate. And performance is
very important attribute of the system for you. Scalibility is not an issue.
Security is not an issue (for listening on ports that are blocked on firewall
etc).

Use .NET Remoting when:
The platform is known to be Microsoft family of OS. You are tempted to use
.Net Remoting API because it provides extensive support for developing
distributed applications. Communication is meant to maintain state
information.

Use XML Web Services when:
Platform independence is a pre-requisite. Speed of execution (remote call)
is not as critical. All the communication is done through XML based messages.
Stateful communication is not required.

best regards.