Use LZMA 2 unless you are looking to extract the archive on a system that cannot deal with LZMA 2 archives.
Generally speaking most modern compression algorithms give roughly the same compression, and with regard to the number of cores that you can use at once, it is up to you to decide how many you want to use. Generally speaking (unless you are creating large archives) there is no reason to need more than one though. In addition, with multiple cores doing the compression, the bottleneck may become the hard drive.