Most of the Windows Workflow Foundation samples use workflows that are hosted in a console application, but this isn't a realistic scenario for real-world workflows. Workflows in actual business applications will be hosted in persistent processes- either a Windows service authored by the developer, or a server application such as IIS or AppFabric. The differences between these approaches are as follows.
Using IIS with AppFabric is the preferred host for workflows. The host application for workflows using AppFabric is Windows Activation Service, which removes the dependency on HTTP over IIS alone.
Using IIS alone is not recommended, as there are management and monitoring tools available with AppFabric that facilitate maintenance of running applications. Workflows should only be hosted in IIS alone if there are infrastructure concerns with moving to AppFabric.
Creating a custom workflow service to host the workflow will require the developer to duplicate a lot of the functionality provided out-of-box by AppFabric, but will allow for more flexibility with custom functionality. This option should only be considered if AppFabric proves to not be an option.