Between the three scenarios, being up by one is usually the more stressful one. When you're up by one, you can only lose points. You have the 2 winners points in your hand and now it's up to you not to drop them. All pressure is on the team in the lead.
On the other hand, watching a tie game roll into the last few minutes can also make me bite my nails. But with it being tied the pressure is equal. Either team can win or lose it all. More often than not the teams just hang out and wait for OT to arrive.
Lastly, being down by one can be quite horrifying depending on the context. Down by one in a regular season game? Meh, if we score that'd be a great story. But by now I've usually accepted the loss. However, if we're talking playoff games being down by one in what could be a series deciding game. That one can give you heart problems if it happens too often.