I watch the three on Comedy Central when I can, The Daily Show, The Colbert Report and Conan.
The Daily Show and Colbert are consistently brilliant night after night.
Whether or not I sit through a full episode of Conan depends on who the guests are. I always enjoy his monologue because even if he's bombing it's still hilarious, but some of the guests leave a lot to be desired. That interview with Snooki and her friend a while back was just terribly awkward, you could tell right from the get go that Conan wasn't enjoying it. But then there's guest like Mel Brooks and Ricky Gervais who when they're on, you're left wondering why they even bothered inviting a second guest.
Also, I like Andy Richter a lot.