I have only tried silkworms. I noticed some of my geckos seem to get annoyed by the silk; always wiping their little mouths here and there after they have eaten a silkworm. Silkworm is high in protein and calcium, is a very nutritious type of food. Dubia roaches are good too.
I've used silkworms too, but only with one gecko. She looked like she enjoyed them As Bonnie said, they are a very nutritive food, and also low in fats (which is rare for a worm).
I haven't used the other two. I don't know too much about phoenix worms, but it seems that, although they are high in calcium, they don't attract the attention of leos and other geckos for being too small. I don't like the way they look either, buh and turn into ugly flies.
Butterworms are very nutritious and high in calcium, even more than silkworms, but they are very fattening so they cannot be fed as a base diet. They must be very good as an ocasional treat or for weak or ill geckos, though. The thing is that they are expensive and hard to find, and can't be cultured at home. Has anyone tried them with his geckos? Just to know if they like them or not.
I love silkies for my beardies, the leos will not touch them. Butterworms are a 50/50, sometimes they like them, sometimes they don't. Phoenix worms, they can't stand them. They all love roaches and goliath worms. Actually going to stock up on all of them at the Hamburg show tomorrow. I am all out except for waxworms. Talk about good timing LOL