You click buy on EURUSD at 1.0850 and the fill comes back at 1.0853. Three pips gone before the trade has done anything at all. That gap between the price you saw and the price you got is not a glitch, it is the order type doing exactly what it was built to do. Every order is a trade-off between getting filled and getting your price, and a trader who does not know which one they asked for is negotiating blind.
Market orders: certain fill, uncertain price
A market order says fill me now at whatever the current price is. It guarantees execution, not price. In a liquid instrument during active hours, that gap is usually a pip or two on EURUSD, a dollar or so on gold. Around a news release or in a thin market it can be much wider. Market orders are the right tool when being in the trade matters more than the exact entry, which is most of the time for a confirmed signal you do not want to miss.
Limit orders: certain price, uncertain fill
A limit order says fill me at this price or better, and never worse. A buy limit sits below the current price, a sell limit sits above it. The trade-off flips completely: you get exactly the price you asked for, or nothing. If price never trades down to your limit, you simply never get filled, and that is not a malfunction, it is the order refusing to pay more than you told it to.
Stop orders: dormant until triggered
A stop order is inactive until price reaches a trigger level, at which point it converts into a market order. A buy-stop sits above the current price and is used to catch a breakout; a sell-stop sits below it and is used the same way on the downside, or to protect an existing long as a stop loss. Because a triggered stop becomes a market order, it inherits the same weakness: you get filled, but the price can slip past your trigger in a fast move.
Stop-limit: a floor under the trigger
A stop-limit order triggers like a stop order but converts into a limit order instead of a market order. You set both a trigger price and a limit price, and once triggered, the order will not fill worse than the limit. That solves the slippage problem and creates a new one: in a fast market, price can blow straight through your limit without ever filling you, leaving you flat exactly when the move you predicted is happening.
A worked ticket on a $10,000 account: gold is trading at 2,400. You want to buy a break of 2,410 but refuse to pay above 2,412. A stop order at 2,410 guarantees you are in in but could fill you at 2,415 in a fast spike. A stop-limit at 2,410 triggering a limit of 2,412 caps your entry at 2,412, but if gold gaps straight to 2,420 on the trigger candle, you are left watching from the sidelines with no position at all.
Matching the order to the situation
Use a market order when a confirmed setup is already moving and waiting costs more than the spread. Use a limit order when you have a specific price you are willing to pay and are content to miss the trade if it never arrives. Use a stop order to enter a breakout without watching the screen, accepting some slippage as the cost of not missing it. Use a stop-limit only when a worse fill would ruin the trade's logic and you can live with occasionally getting nothing instead. There is no universally correct order type, only the one that matches what you actually need from that specific trade.