Wow! That is a tough three options.
First, you are considering enjoying one of the classic elements Earth, Air or Water.
Second, consider the financial impact of your initial investment. Skydiving will incur costs for training and certification, aircraft & fuel surcharges, and equipment, if you choose to buy your own. Renting will be an option. Scuba Diving will incur costs for training and certification, charter boat charges & tip for the crew (if diving offshore), rental gear charges or if you buy your own, expect to pay close to $1000 for the full initial investment. Mountain Biking is relatively inexpensive to get into. The first two require equipment not found in a local department store, whereas a bike can be found in any Wal-Mart, Target or specialty store and you can grab a bike and go...working your way up to the challenge of a real mountain when ready.
Third, locale. Sky Diving can be done at pretty much any airport where you can find a Sky Diving operation or find a club locally that does it and travels to a destination ot do said activity. Same goes for Scuba Diving. Not too many inland locations in Texas to dive, especially now, but the coast offers many options and there are many beatuiful vacation destinations where you can take a quick dive and see. Mountain Biking, not too many mountains in Texas, but put your bike in the back of a truck or on top of the car and the world is your oyster, although anywhere you can't get with a car or truck is good to enjoy a bike ride.
Fourth, Risk of activity. Each has their inherent risks involved. I suppose sky diving has several risks, but one very apparent one...a non opening or tangled chute. Scuba Diving has many, of which I won't go into detail, but will be taught in your classes and include Nitrogen Narcosis, Pulmonary Embolism, Oxygen Toxicity, bites, stings, scrapes, and other issues. If you have ANY health issues, it is a must that you talk to your physician prior to taking up this activity. You will be REQUIRED to fill out a form saying you are in good health PRIOR to signing up for a class. I know this because I am a Certified PADI Divemaster. Mountain Biking is risky too. Biking along narrow trails of all types, falling, scrapes, breaks, getting stranded with a flat tire, busted frame, etc.
Fifth, stress exposure. Sky Diving, can't say how stressful this is, so I cannot comment. Scuba Diving is stressful if you make it stressful. Keeping calm in a situation can mean the difference between life & death. Not to scare you, but it is a reality. I have been caught in downcurrents and in very strong sub-surface currents that took me out toward shipping lanes off of SoCal. Not fun, but staying calm and acting appropriately saved my life both times. Never been bitten by a shark or even seen a shark (capable of eating me) in the open water. Diving in a world class aquarium is different and fun. Mountain Biking is as stressfull as you make it. You set the pace and control the progression and can stop when you choose. You cannot just stop a free-fall during a sky dive or pop to the surface during a scuba dive at a moments notice.
Sixth, weather. Sky Diving..again, probably not in stormy or cold weather. Scuba Diving can be done in almost any climate and temperature limited to your exposure suit options. Mountain Biking, well...that is left at your option. Rain or Shine.
There are probably more than this to consider, but as for me, I enjoy the heck out of scuba diving, but don't get much of a chance to do it anymore living in Central Texas in a drought and don't get to the Gulf very often. I ride my mountain bike when the weather isn't at extremes and then not at an extreme pace, but more so just to get out and do something. I have never been sky diving and don;t see why anyone would jump out of a perfectly good airplane.
Each one has its' own uniqueness and thrill level. I went with Scuba because I had ambitions of travelling the world to dive in exotic locations. Then stopped in SoCal and didn't leave for a long time because the diving was so awesome there...no kidding!
If you take up Scuba, let me know and I'll go diving with ya.
Just my two cents.