Which connection interface should I use with my next external HDD? I've recently bought a new macbook pro.

Since my old backup hard drive is failing, I'm planning on buying a new one. 
I don't want to spend a lot of cash and I would like a decent amount of extra space, so I'll be going for an HDD not an SSD. 

Yet I'm wondering, what would be the best data protocol to buy (USB, FW800, Thunderbolt)?

I'd say thunderbolt is overkill since the speed of an HDD won't come near the speed thunderbolt can go (and it's pricey, and has low availability). 

Is it worth it to go FW800 over USB2/3 (my mac has USB2 anyways)? I just want the speediest solution.
If you simply want speed, then FW800 is faster than USB2 (you do not have USB3).

USB has drawbacks which result in a lower then promised sustained speed (FW800>FW400>USB2).

Edit: I've done some research to get real world numbers. While the theoretical speeds are (100MB/s vs 50 MB/s vs 60MB/s) the real world results result are (90MB/s vs 30MB/s vs 30MB/s) due to limits cause by bridge-chips (german source). Since hard drives allow transfer speeds above 30MB/s, you should take FW800.

If you want to be upgrade safe for a future Mac, I'd take USB2/3. Firewire support is probably going to be dropped in the near future (see Macbook Air).

Thunderbolt is overkill - as you said.