Which is the best approach to connect IBM Mainframe application using Java Connector Architecture (JCA)?

You have many options... I've tried them all.

Their CTG product can be a bottleneck and the licensing is ridiculously expensive. I recommend staying away from the Cics Transaction gateway.

You can homebrew a solution using just plain data sockets. We're currently doing this. We developed a standard Java annotation library and a standard COBOL copybook.

Consider mainframe webservices. The XML parsing/marshaling can be ZIIP/ZAAP eligible, so you don't incur those MIPS charges.

You may also consider an ESB like Sonic from progressive software. They offer a product called Shadow that takes the guesswork out of mainframe webservices.

IBM's approach should be pretty good.

Here's an IBM tutorial to get you started: Introduction to the J2EE Connector Architecture

This is not a JCA solution, but you can also use telnet and screen scraping. This is pretty simple, but not the most efficient way as to have to wait for the screen to appear, etc