ActiveX is more or less a fancy marketing name on COM (an ActiveX component / control is an object that just supports the IUnknown interface), so your choice is really down to COM vs Socket.

For cross process communication, you can write something faster with sockets... if you're a good socket and Windows programmer, because you will be on your own, as Sockets will basically do nothing to help you. That does not mean COM is not fast, or has bad performance, but you always theoretically can do better than an out-of-the-box system, but only if you master the whole thing.

On last thing, if you need to communicate with 3rd party products or other platforms than Windows, Sockets are more portable.