You can sail low and slow (A) on the rhomb line between the windward and leeward marks.
You can sail high and fast (E)
Or you can sail anywhere in between.
For any boat and wind condition, there is usually one combination of boat speed and wind angle (C in this graph) that will give you the best VMG to leeward. Unless you need to go high or low for tactical reasons, you should try to find this optimal combination of speed and angle when you are running.
In light to moderate winds, the shortest route (A) is seldom the fastest.