Assuming prices are all similar, this should really come down to fit because these are essentially peer schools.
Wesleyan: Very politically active campus, artsy, liberal, in a town with 50k people (kind of in suburbia), greek life isn’t very prominent, D3 sports
Colgate: More on the conservative side (as far as LACs go), D1 sports, in a rural area with 4k residents, known to have a very wealthy student body, very prominent greek life, known to have a work hard / play hard atmosphere, upstate new york weather (very cold, lots of snow)
Davidson: More on the conservative side for a LAC, it’s in the south with southern culture and vibe, D1 sports, known to be pretty rigorous academically, greek life prominence is somewhere between the other two schools, the town of Davidson is small, but the school is right off the highway and fairly close to Charlotte, best weather of the 3 imo, smallest student body of the 3 (1800 vs 2800)
I’ve only driven by Davidson and Colgate, so I can’t provide any first-hand information. Hopefully, someone else can help.