Of the 3 areas in your heading, I'd chose: Panama City Beach, Lynn Haven, then Panama City.
BUT take this into consideration:
I'd put money on the CRA areas being a good investment on return due to improvements.
AND since it's tax money thats making these improvements, we are all putting our money on it.
There are 4 CRA's (Community Revitalization Area) in Panama City.
With rough economic times these will be the heartbeat of progress, maintanence and growth.
These areas engross Downtown, St. Andrews and Millville and they all contain very affordable properties.
Some are zoned for multi-use, so they have to potential to be offices and many are surrounded by medical, legal and/or professional offices.
Others are multifamily properties, such as a duplex or triplex, which can produce an income for you and help you pay for your property.
Ideally, you'll be close to work and in these areas, you'll also be able to walk to festivities, parades, shops, restaurants and, best of all, the water!
My long term (10-20 year) value increases would have to be in none of these areas, but outside of them and still inside Bay County limits, you know, the outskirts of town. Feels more like Enterprise out there now, but will most likely be taken over by development in the long run.