I can only speak for SSH and sftp, as I don't use the non-secure methods. Other then setting up the root password, as previously mentioned, and setting up the SSH server with raspi-config or manually, it just works for me. The only issue I have had in the past with SSH was that the question that comes up regarding the acceptance of the SSH keys was not displayed, therefore the connection failed. Since all three methods don't work in your case, have you changed anything in the firewall or accept/deny files on the pi, or your router permissions, although I am not sure at what point the connection is prevented (Before the login/password or after).
My Raspberry Pi Project Page: