What's your budget and what's your timeline?
Pay per click is quick to launch, can have as many click throughs as you want. It can get expensive, especially if you try to compete against things like NetQuote, InsureMe, Geico, Progressive, etc.
SEO is expensive, takes time, requires a plan. Ultimately can be a good benefit. A well executed pay per click campaign can actually be less money.
Social media is probably tough for auto insurance. I've never tried this, don't know enough about it, could work, takes a commitment though.
If you are looking for local advertising / marketing, online can be difficult. Not impossible, but not the panacea that a lot of people think it is.
Something to think about, you need a proactive market campaign, not so much a passive or reactive campaign. What I mean is a pay per click or
SEO enables the few people that are in your area that are shopping for insurance to find you. You will go broke servicing these 3 people every month.
On the other hand, a direct mail piece that entices people to look at your website for a free comparison quote may get you more traffic at a lower per click rate. It may not be as targeted though, so it takes some experimenting to get it right. In this case, you are encouraging people to visit your site, rather than hoping they find you by accident, becoming a lot more proactive.
Geico, Progressive, esurance all run TV commercials to be proactive. They all also send direct mail. They do HUGE pay per click campaigns. They chase it all.
You may have a few million less to spend then they do (not sure, depends on your budget), so you need to find something that will drive traffic to you. I'd skip the TV commercials.
Dan