Windows Authentication means that the identity is handled as part of the windows handashaking and now password is ever 'out there' for interception.
SQL Authentication means that you have to store (or provide) a username and a password yourself making it much easier to breach. A heap of effort has gone into making windows authentication very robust and secure.
mixed authentication is to allow for both it depends on your requirement .
to understand in detail please follow this link -
http://msdn.microsoft.com/en-us/library/ms144284.aspx[
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