Depends how you're doing it. Straight baking will remove the most moisture, steaming the least, stir fry in between.
But if you pan sear it before baking, then it seals in the juices, and it won't dry out.
Also I haven't often heard of steamed chicken.
But mostly it depends on the quality of chicken. Chicken is often injected with added water to increase the weight. Higher quality chicken will have less water, and thus lose less and shrink less. I had a bad problem with this recently because my roommate bought some cheap frozen chicken and after it cooked it was half the size because it had that much water in it. It wasn't really fit for cooking, it was really sad.
So buy good chicken and you won't have to worry too much about it. Another thing, if you bake it with the skin and bone on the chicken will again lose less moisture, and have the most flavour. You don't have to eat the skin, you can take it off after it's done.
So try taking a chicken breast with bone and skin on, you can make a pocket just under the skin and put spices and butter and such in there, which will give it a good taste throughout, even after the skin is removed.
But yeah, skin is definitely in if you want juicy chicken.
