Do not use any of the options

Why?

First, the assignment of the event handler should not be done inline. HTML is for content markup and structuring, all behavior must be separate, in JavaScript file (s). Violate this principle and you will see how easy the code is to turn a salad (or, as the gringos say, a spaghetti).

So do not use onclick="myFunction();". Instead, ensure that the element will be easily accessible via JavaScript, assigning it an id or class (of course this is not even necessary to select the element in JavaScript, but it is usually more convenient). The element can be an anchor without href, a simple span, a button, or something else that makes sense. A <a> without href is valid HTML5, but an href with a value other than URL is invalid. And even if the anchor has href, it is very simple to prevent via js that the link is followed.

I would use the following:

<a id="el" href="http://example.com">Não me siga</a>

// De preferência em arquivo à parte
document.getElementById('el').addEventListener('click', function(e){
     // Não siga o link!
     e.preventDefault();
     alert('não segui');
});

^{I don't recommend any of the options in the question, read on to find out why.}

To avoid usability problems in case JavaScript support is disabled or in case the visitor wants to open the link in a separate window, I usually leave the processing of the link to the function responsible for opening it.

Let's look at the case of jQuery and JavaScript

Link that will work even if JavaScript support is disabled in the visitor browser:

<a href="minha_pagina.html" id="meuLink">Abrir</a>

With jQuery

With jQuery, we attach a click event to the id or class of the link and through the event object, we call the method preventDefault() in order to prevent the href from being called, thus giving way to the code we intend to execute.

Example in JSFiddle

$('#meuLink').on('click', function (event) {

    // prevenir comportamento normal do link
    event.preventDefault();

    // código a executar aqui
});

With JavaScript

With JavaScript, things are no longer so simple as we have to do some checks that these days are carried out by the frameworks that we like so much.

1. We hope that the browser window has finished loading to ensure that we will be able to add an event to the desired element and avoid calling href.
2. let's identify the element in the DOM, in this case through the id and save it in a variable.
3. finally, we check the support that the browser is making available to us to attach the link click event.

Example in JSFiddle .

// Esperar que a "window" tenha terminado de carregar
window.addEventListener('load', function() {

  // apanhar o elemento para uma variável
  var element = document.getElementById('meuLink');

  // verificar suporte e reagir em conformidade
  if (element.addEventListener) {
      element.addEventListener('click', minhaFuncao, false);
  } else if (element.attachEvent) {
      element.attachEvent('onclick', minhaFuncao);
  }
}, false);

And the function minhaFuncao looks like this:

function minhaFuncao(e) {
    // prevenir comportamento normal do link
    e = e || window.event;
    e.preventDefault();

    // código a executar aqui
}

Note: in the examples given, Try using the right mouse button to open the link in a tab next to it and check if the usability is intact!