The speed of sound increases as the density of the medium increases. Solids are denser than liquids, and liquids are denser than gases. So sound will travel fastest through a solid, then a liquid, then a gas.
Here are the speeds of sound in different media at room temperature (25 degrees Celsius):
* Steel: 5,960 m/s
* Water: 1,482 m/s
* Air: 343 m/s