Like Raymond, my first choice would be a cement backer board (Durock, Wonderboard, etc) in a wet shower or tub installation. Next choice would be DensShield. I will differ in that even if a surround was going in, I still wouldn't use green board in a wet location.
Everywhere else in the bath, outside of the wet area, would be green board.
If you choose DensShield over CB, install EXACTLY in accordance with the manufacturer's instructions.