Timing with random strings of ASCII printables:
from inspect import getsource
from random import sample
import re
from string import printable
from timeit import timeit
pattern_single = re.compile(r'[\W]')
pattern_repeat = re.compile(r'[\W]+')
translation_tb = str.maketrans('', '', ''.join(c for c in map(chr, range(256)) if not c.isalnum()))
def generate_test_string(length):
    return ''.join(sample(printable, length))
def main():
    for i in range(0, 60, 10):
        for test in [
            lambda: ''.join(c for c in generate_test_string(i) if c.isalnum()),
            lambda: ''.join(filter(str.isalnum, generate_test_string(i))),
            lambda: re.sub(r'[\W]', '', generate_test_string(i)),
            lambda: re.sub(r'[\W]+', '', generate_test_string(i)),
            lambda: pattern_single.sub('', generate_test_string(i)),
            lambda: pattern_repeat.sub('', generate_test_string(i)),
            lambda: generate_test_string(i).translate(translation_tb),
        ]:
            print(timeit(test), i, getsource(test).lstrip('            lambda: ').rstrip(',\n'), sep='\t')
if __name__ == '__main__':
    main()
Result (Python 3.7):
       Time       Length                           Code                           
6.3716264850008880  00  ''.join(c for c in generate_test_string(i) if c.isalnum())
5.7285426190064750  00  ''.join(filter(str.isalnum, generate_test_string(i)))
8.1875841680011940  00  re.sub(r'[\W]', '', generate_test_string(i))
8.0002205439959650  00  re.sub(r'[\W]+', '', generate_test_string(i))
5.5290945199958510  00  pattern_single.sub('', generate_test_string(i))
5.4417179649972240  00  pattern_repeat.sub('', generate_test_string(i))
4.6772285089973590  00  generate_test_string(i).translate(translation_tb)
23.574712151996210  10  ''.join(c for c in generate_test_string(i) if c.isalnum())
22.829975890002970  10  ''.join(filter(str.isalnum, generate_test_string(i)))
27.210196289997840  10  re.sub(r'[\W]', '', generate_test_string(i))
27.203713296003116  10  re.sub(r'[\W]+', '', generate_test_string(i))
24.008979928999906  10  pattern_single.sub('', generate_test_string(i))
23.945240008994006  10  pattern_repeat.sub('', generate_test_string(i))
21.830899796994345  10  generate_test_string(i).translate(translation_tb)
38.731336012999236  20  ''.join(c for c in generate_test_string(i) if c.isalnum())
37.942474347000825  20  ''.join(filter(str.isalnum, generate_test_string(i)))
42.169366310001350  20  re.sub(r'[\W]', '', generate_test_string(i))
41.933375883003464  20  re.sub(r'[\W]+', '', generate_test_string(i))
38.899814646996674  20  pattern_single.sub('', generate_test_string(i))
38.636144253003295  20  pattern_repeat.sub('', generate_test_string(i))
36.201238164998360  20  generate_test_string(i).translate(translation_tb)
49.377356811004574  30  ''.join(c for c in generate_test_string(i) if c.isalnum())
48.408927293996385  30  ''.join(filter(str.isalnum, generate_test_string(i)))
53.901889764994850  30  re.sub(r'[\W]', '', generate_test_string(i))
52.130339455994545  30  re.sub(r'[\W]+', '', generate_test_string(i))
50.061149017004940  30  pattern_single.sub('', generate_test_string(i))
49.366573111998150  30  pattern_repeat.sub('', generate_test_string(i))
46.649754120997386  30  generate_test_string(i).translate(translation_tb)
63.107938601999194  40  ''.join(c for c in generate_test_string(i) if c.isalnum())
65.116287978999030  40  ''.join(filter(str.isalnum, generate_test_string(i)))
71.477421126997800  40  re.sub(r'[\W]', '', generate_test_string(i))
66.027950693998720  40  re.sub(r'[\W]+', '', generate_test_string(i))
63.315361931003280  40  pattern_single.sub('', generate_test_string(i))
62.342320287003530  40  pattern_repeat.sub('', generate_test_string(i))
58.249303059004890  40  generate_test_string(i).translate(translation_tb)
73.810345625002810  50  ''.join(c for c in generate_test_string(i) if c.isalnum())
72.593953348005020  50  ''.join(filter(str.isalnum, generate_test_string(i)))
76.048324580995540  50  re.sub(r'[\W]', '', generate_test_string(i))
75.106637657001560  50  re.sub(r'[\W]+', '', generate_test_string(i))
74.681338128997600  50  pattern_single.sub('', generate_test_string(i))
72.430461594005460  50  pattern_repeat.sub('', generate_test_string(i))
69.394243567003290  50  generate_test_string(i).translate(translation_tb)
str.maketrans & str.translate is fastest, but includes all non-ASCII characters.
re.compile & pattern.sub is slower, but is somehow faster than ''.join & filter.