On demand should yield better battery life than interactive. Conservative should do better than either of those.
Interactive is too quick to jump up to the max allowed frequency. Ondemand is a little more lax and allows the CPU to sit at lower speeds while slowly ramping up to higher ones as needed. Then conservative is even slower ramping up.
Interactive will give the most fluid performance as the CPU spends a lot more time at max frequency. On demand is generally a good balance of speed and battery life. Conservative will generally feel a little sluggish as the CPU ramps up slowest of the tree governors.