Best overall: CalDigit TS3 Plus
Plenty of ports, great performance.
As long as your laptop has a Thunderbolt 3 port, CalDigit's TS3 Plus should be at the top of your list. It has a total of 15 ports, including five USB-A 3.1, two USB-C 3.1, DisplayPort 1.2, two Thunderbolt 3, Ethernet, S/PDIF, an SD card reader, and 3.5mm audio in and out. Connect two 4K displays or one 5K display at 60Hz, and watch your laptop charge at up to 85W. It isn't cheap at about $300, but it will easily transform your laptop into a complete workstation.
Bottom line: Despite a lack of HDMI, CalDigit's TS3 Plus Thunderbolt 3 docking station offers the best performance and an otherwise wide selection of ports.
One more thing: Check out my review for way more information about this dock.
Why the CalDigit TS3 Plus is the best laptop dock
As modern Ultrabooks move to Thunderbolt 3 connectivity, laptop docks are changing to keep up. This dock from CalDigit (about $300) is made from a solid piece of aluminum and has 15 ports that you can use to connect your peripherals, including 4K displays, keyboard, mouse, SD card, Ethernet cable, and more.
The docking station can even deliver up to 85W of power to your laptop. It's nice knowing that your laptop will always be charged when you have to unplug it and hit the road. As long as your laptop has a Thunderbolt 3 port, this dock will eliminate the need for most other adapters and hubs you have lying around. Set it up on a desk, plug in a single cable, and watch your laptop become a full-fledged workstation.
Runner-up: Plugable USB-C docking station
A lot of modern Ultrabooks that don't have Thunderbolt 3 will at least have USB-C with Power Delivery and Alt Mode video output, which is where this Plugable dock (about $179) really shines. Connect up to three external displays at 1080p and your usual keyboard and mouse, and you'll still have plenty of ports to spare, including Ethernet and USB-A 3.0. There's no SD card reader, but two HDMI ports might push this one ahead of the CalDigit TS3 Plus. It will even support a single 4K display at 30Hz.
Best budget: Plugable USB-A docking station
This smaller, cheaper sibling to the Plugable USB-C dock, this USB-A 3.0 option (about $89) is perfect if your laptop doesn't have Thunderbolt 3 or USB-C and you can manage with two external displays and no 4K. For ports it has four USB-A 2.0, Ethernet, DVI (60Hz), HDMI (50Hz at 1440p, 60Hz at 1080p) on the back, as well as two USB-A 3.0 ports on the front. Connect your laptop with a USB-A 3.0 cable, connect two displays, add a keyboard, mouse, and headphones, and still have ports left over.
Conclusion
The CalDigit TS3 Plus is the best docking station out there right now, but if you don't have a laptop with Thunderbolt 3, there are certainly some quality alternatives.
Updated June 20, 2018: I've refreshed this roundup with a new top pick to ensure you're still looking at the best docking stations on the market.