The following is a brief comparison of the various memory allocation methods:
Although the GlobalAlloc, LocalAlloc, and HeapAlloc functions ultimately allocate memory from the same heap, each provides a slightly different set of functionality. For example, HeapAlloc can be instructed to raise an exception if memory could not be allocated, a capability not available with LocalAlloc. LocalAlloc supports allocation of handles which permit the underlying memory to be moved by a reallocation without changing the handle value, a capability not available with HeapAlloc.
Starting with 32-bit Windows, GlobalAlloc and LocalAlloc are implemented as wrapper functions that call HeapAlloc using a handle to the process’s default heap. Therefore, GlobalAlloc and LocalAlloc have greater overhead than HeapAlloc.
Because the different heap allocators provide distinctive functionality by using different mechanisms, you must free memory with the correct function. For example, memory allocated with HeapAlloc must be freed with HeapFree and not LocalFree or GlobalFree. Memory allocated with GlobalAlloc or LocalAlloc must be queried, validated, and released with the corresponding global or local function.
The VirtualAlloc function allows you to specify additional options for memory allocation. However, its allocations use a page granularity, so using VirtualAlloc can result in higher memory usage.
The malloc function has the disadvantage of being run-time dependent. The new operator has the disadvantage of being compiler dependent and language dependent.
The CoTaskMemAlloc function has the advantage of working well in either C, C++, or Visual Basic. It is also the only way to share memory in a COM-based application, since MIDL uses CoTaskMemAlloc and CoTaskMemFree to marshal memory.
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Reprinted from: (MSDN) Comparing Memory Allocation Methods