The general consensus of online dictionaries seems to be that gnus is the correct plural, but that gnu can also be used as a collective, so either would be okay. So any of the three you've given here would be technically correct - the first would be a singular Gnu, so would probably be more accurate if talking about the GNU organisation (in which case I'd drop the "the" as well and just have "Where GNU roams"), but for animals I'd probably use the latter (the middle one's just as accurate but doesn't sound quite as right to me).