From an SEO perspective, what should I consider when deciding between these three markup structures? (or others if I'm missing something obvious)
<h2><a href="...">My Title</a></h2>
<p>...intro text...</p>
<a href="..."><h2>My Title</h2></a>
<p>...intro text...</p>
<h2>My Title</h2>
<p>...intro text... Read more about <a href="...">My Title</a></p>
The first two are equal as far as SEO is concerned. links in header tags carry more weight that regular links like the third example. However, adding the third link at the end of the article isn't a bad idea.
from a pure coding-spec standpoint, The first way is more correct. I would go with that.
All things considered, this is a really small difference that will have little to no impact on SEO, and I wouldn't lose any sleep over it.
The second one is wrong according to specs (the first one is the correct version of it). You cannot wrap a block level element in an inline level element.
Apart from that I do not think it would matter too much. As long as your HTML is generally well structured, position usability and pure design in front of search engines.