I would like to know about practical experiences in protein immunoprecipitation. I am interested in the immunoprecipitation of MHC/peptide complexes from eukaryote membranes, but any suggestion or comment for any kind of protein will be welcome.
Any of those options are good, it just depends what you have available in lab. The start up costs and equipment for a magnetic bead system is a bit more than the others, but it's also the easiest, since it keeps the beads from being lost as easily during washes and such, and is very rapid.
You can also use a spin column like system from Thermo Pierce. You can either use Protein A/G pre-linked beads, or have a handy easy procedure to covalently couple whatever you want to them. Washing and everything is easy, since liquid flows through the column, and the resins can be reused many times; no worry about accidentally sucking up beads or not getting all the liquid out.
Since you're working with membrane proteins, I would recommend not trying to directly couple them to the resin as there's a chance you'll block the solvent exposed active site, and instead use antibody or antibody-protein A/G linked beads.