Growing media doesn't get the attention nutrients do, but it decides how forgiving — or unforgiving — your setup is.
Clay pebbles (hydroton) give roots maximum oxygen and near-total control over feeding, since they hold almost no water themselves. Best suited to hydro/ebb-and-flow systems where you're watering frequently and precisely. Least forgiving if you're inconsistent with watering — dry out fast.
Coco coir sits in the middle: good water retention, good drainage, and far more forgiving of a missed watering than clay pebbles. It behaves like soil but drains like hydro, which is why it's become the default choice for a lot of growers moving up from soil.
Soil is the most forgiving of the three and the easiest starting point if you're brand new — more margin for error on feeding schedule and watering, at the cost of less precise control as you get more experienced.
Simple rule of thumb: if you're just starting out, soil or coco. If you already know your watering routine and want maximum control, clay pebbles.