I want to make absolutely sure I'm understanding the english on Emeria Shepherd.

I have an Emeria Shepherd on the battlefield and a Bear Cub in the graveyard. I play a Plains and target the Bear Cub.

Is the following list of options I have when the trigger goes to resolve correct?
1) I can put the Bear Cub onto the Battlefield
2) I can return the Bear Cub to my Hand
3) I can leave the Bear Cub in the graveyard.

My point of confusion here is whether or not I still have option (2) when I play a plains.

Yes, that list is correct. If you play a Plains, you may choose to return the Bear Cub from your graveyard to the battlefield, or you may choose not to apply that replacement and have it return it to your hand, or you may choose not to move it anywhere at all. All three are legal options.