Has anyone else looked into this much? What are your opinions on the different approaches?
I am also very much interested in the answer to this question. A detailed breakdown of the specifications and strengths and weaknesses of the different Colored Coin protocols would be welcome.
The main protocol I am leaning toward is Open Assets. It uses the OP_RETURN of a transaction to include 20 bytes of data which includes the amount of stocks transferred and a URL link to some meta data to help with visualizing the asset. Very simple and clean, not a lot of overhead for the blockchain and it already has several implementations including an offline and online wallet. Most importantly, Overstock and NASDAQ are using this protocol for their attempts at stocks on the blockchain.
This is what I would be leaning toward as well.