The Phantom was definitely the best of those three in my opinion.
I didn't like The Shadow, I thought too many things in it were corny/hokey (picking Khan as the villain didn't help). I prefer the Shadow to be very dark tonally (like the new comic book), whereas with the Phantom I thought they got the right tonality for the character.
Dick Tracy is right in the middle--it's definitely a good adaptation, but I just didn't care very much about the character.
EDIT: If you guys want to see a really bad The Shadow movie watch the 1940s one on Netflix called "Behind the Mask"--if you think the '90s Shadow is bad then steel yourselves for an experience like no other.
ANOTHER EDIT: There was a very funny bit in a recent movie or TV show where some guy goes, "Get me a damn super hero actor! Any of them!" for this children's event at a school. And he ends up introducing to these middle-schoolers Billy Zane. Does anyone know what movie or TV show this was? I've been trying to remember to no avail.
It was just recently, so don't say, "Zoolander" because it wasn't that one...