Since you are looking for the exact solution to some set of equations, it would seem counterintuitive that you should consider the nature of the exact solution BEFORE you start doing the problem. Hence, use shells when the exact solution is a stress field can be closely approximated by in plane stress only (for instance, in a classical beam bending problem or a pressure loaded thin cylinder or sphere), because that's just the kind of stress field shell elements capture well.
If your exact solution has high stress gradients and is three dimensional in general, hex20 works better than hex8. Why do they work better? Hex8 (8 nodes, only at the corners of a cube) are linear elements, which mean they can capture quite well linear displacement fields. Now think about what kind of stresses you can get from linear displacement fields? The first spatial derivative of the displacement is the strain, which is related to the stresses through some material constants, therefore linear displacement fields can give you AT BEST constant strain fields (hence the name "constant strain triangle" referring to a 3 noded, 2 dimensional triangular shaped element).
Think about what kind of strain/stress field you get from same pure bending--you want a linear stress field. Integrating to displacements, you know you need a quadratic displacement field to capture a linear stress field. That means your tet4 (I am guessing this is a 4 noded tetrahedron which is linear) does a very poor job of calculating a quadratic displacement field; the best you could hope for with the tet4 is a piecewise linear displacement field--you can imagine you'd need quite a few piece wise linear displacements fields to approximate well a quadratic displacement field.
My personal preference is never use linear elements--they were needed when computers were still reading card decks and had limited memory, in my opinion, but they appear to work rather poorly for most interesting deformations and stress fields. You save some space on your computer by using them, but you don't need to save space in most cases any way.