Bodh R Sharma, Linear Regression Analysis is the most commonly used method in the social sciences. In fact, all the other methods you mention can be explained and demonstrated through linear regression.
A short answer to your question is that all of them are used; however, their application purpose can be tell when to apply each of them. Here are some of their possible areas of applications.
EFA: Developing a new scale to measure a particular factor or dimension reduction.
CFA: Ensuring the validity and the reliability of measurement models used in SEM.
SEM: Confirm that a particular hypothesis, or theory that aims to explain a particular behaviour.
ANOVA: To ensure if there is a significant difference between the two group variance.
Regression: Extensive and can cover all of them.
And to add another dimension for Mehmet Mehmetoglu reply.
I want to draw the attention that with the many available statistical techniques supported by powerful statistical analysis software, it is easier to conduct them. However, this should not shift the attention from the most important part: the research question of any research.
The good research question should be thought through to ensure its originality, the added value it can bring to available literature, and at later steps look through the appropriate valid and reliable statistical method to capture the question of interest.
In this regard, the researcher can identify the most used statistical methods in a particular field during the literature review. This means that the researchers can evaluate their knowledge of a particular statistical method and the software, which implies they might need some time to learn it more. This can help them develop a more realistic time table about the project's expected time or the research.
Bodh R Sharma There is no single answer to this question. It really depends on your research question and hypotheses. For instance, if you are aiming to compare various groups then it's ANOVA, in case you have assumed some predictive values/ associations then regressions, for finding structures and validity of scales/ measures you might need to use EFA/ CFA depending on if you are exploring or confirming a factor structure and their interrelations. SEMs would be used when you are keen on determining latent relationships. Nowadays there are also several additional simpler and complex analysis software that can help you in determining the power and the kinds of analysis you might need to use i.e. power test and bootstrapping. These added features are becoming a norm in contemporary social sciences.