Mostly "it depends".
For example, if the database is serving a lot of concurrent users then the amount of time the table is locked is going to matter more than the amount of time the query takes in total.
As a rule of thumb, I would say:
INSERT is usually fastest, as it only adds data and doesn't need to lock the table because no existing data is modified. Lots of indexes could slow it down a little though.
SELECT can potentially be very fast or very slow. It depends on the query. It has the potential to be the fastest, and it doesn't lock the table. But SELECT operations are often a lot more complex than the others, fetching data from multiple tables, or sorting or using indexes more comprehensively.
DELETE is relatively slow. The table (or depending on the storage engine, the affected rows) needs to be locked. Indexes need updating.
UPDATE is usually the slowest. The table (or depending on the storage engine, the affected rows) need to be locked, indexes need updating, and it is slightly more involved than DELETE.
But as I said, this is all a rule of thumb, and it really depends a lot on circumstances.