How to measure voltage with Arduino analog input
You can connect digital pin to analog input directly. That's not very interesting though, since you'll only see two values from the analog input (at least theoretically).

The digital pin gives out 0 or 5 Volts. The analog pin expects 0 to 5 Volts input. The only thing that matters to the analog input is the voltage with respect to ground. That can be between 0 to 5 volts (returned as 0...1023 by analogRead function).


  Just connect them directly - it is not a short circuit, is it?


No, it's not a short circuit. In general, connecting anything to an input is not a short circuit. Connecting output to another output is potentially a short circuit.


  Connect a resistor in between - the voltage should still be 5v, right? Whatever resistor I use?


This makes no difference compared to connecting them directly, unless the resistor value is very high (should be hundreds of kOhms or even MOhms to see a difference, I suppose), because almost no current flows to the input.


  Make a circuit: digital output -> resistor -> ground, and connect the analog input in parallel (in between the resistor and ground) - Does it make sense? What is the difference with the previous option?


This makes no other difference than that the resistor loads, i.e. draws current from, the digital output. If the resistor value is too small, then the digital output is unable to supply enough current so the 5 V voltage could become less than 5 V, or you could even burn the chip.