What are the trade-offs of transmission bands?
Energy increases as frequency increases, yes.

So of course, when you are generating a frequency you have to put that energy into it in the first place.  The higher your frequency the more energy needed to make it go the same distance.

If you think about a wave being a simple two-state being, with one state HIGH and the other LOW - which represent a peak and a trough of a wave.  It takes a finite amount of energy to set the wave to HIGH and a finite amount to LOW.

Say you generate 10 HIGH and 10 LOW.  That's a fixed amount of energy that you put in.

With a long wavelength (low frequency) those HIGH and LOW points are spread over a long distance.  With a short wavelength (high frequency) those HIGH and LOW points are all bunched up in a small space. 

So to make the high frequency wave fill the same space as the low frequency you have to generate more HIGH and LOW points to fill the gap.  So of course that takes more energy.

Now, which band should you pick?  Well, there are a number of factors to consider, including:


Energy available - if you are making a low powered system then using a lower frequency band will save power.
Environment -  What obstacles are there in the way?  Lower frequencies penetrate things than higher frequencies. They can even bounce off the ionosphere to bend around the globe.
Bandwidth - Do you need to send a lot of data quickly? If so then you need a higher frequency to fit all that data in.
Regulations - There are laws governing what you can transmit and on what frequencies. This severely limits your choice of frequencies depending on what it is you're transmitting.