Desire HD: Same proc as Incredible S, Worse battery life and build quality, camera not as good as Incredible S.
Incredible S: Same proc as Desire HD, S-LCD screen, Better battery life and build quality, camera is the best of the 3, has front camera, but has a locked bootloader(or so i heard)
SGS: Best GPU to date, S-AMOLED screen, has front camera, plenty of roms, but has gps and lag issues. Can be fixed though.