Observations of present and future X-ray telescopes include a large number of ipitous sources of unknown types. They are a rich source of knowledge about X-ray dominated astronomical objects, their distribution, and their evolution. The large number of these sources does not permit their individual spectroscopical follow-up and classification. Here we use Chandra Multi-Wavelength public data to investigate a number of statistical algorithms for classification of X-ray sources with optical imaging follow-up. We show that up to statistical uncertainties, each class of X-ray sources has specific photometric characteristics that can be used for its classification. We assess the relative and absolute performance of classification methods and measured features by comparing the behaviour of physical quantities for statistically classified objects with what is obtained from spectroscopy. We find that among methods we have studied, multi-dimensional probability distribution is the best for both classifying source type and redshift, but it needs a sufficiently large input (learning) data set. In absence of such data, a mixture of various methods can give a better final result. We discuss some of potential applications of the statistical classification and the enhancement of information obtained in this way. We also assess the effect of classification methods and input data set on the astronomical conclusions such as distribution and properties of X-ray selected sources.