Alcohol is not hot
Alcohol stoves are relatively safe to use. No real explosive dangers. The advantages of the alcohol stove are that it is relativley safe, easy to get fuel, and maintanice free. The downsides is the flame is not hot. Think Sterno fuel. It will cook stuff, but will take a L-O-N-G time. I have one, but just use it to boil water.
Propane will be hotter and easier to cook with. It is relativley safe, but is a lot more explosive than alcohol. Your grill outside ise probably Propane driven.
A lot of people have propane stoves, so it isn't really a big deal. The advantages of propane is that it will cook stuff quick, is hotter than alcohol, and pretty clean. The downside of propane is that it is a little harder to find, you need a cyclinder, plumbing, and a regulator to use it, and a place to store the tank on the boat.
Diesel? I wouldn't burn that to cook with, too sooty and smelly.