I prefer the Marlin myself. I'll be fully transparent and say that I have an affinity for older Marlins. My personal favorite and regular companion is my 1936 Marlin, which was manufactured that same year.
This being said, the new ones are great. I have read multiple sources stating that the Ruger manufactured ones are THE BEST that have ever been produced. Is that true? I don't know, as I haven't personally shot every single one to have ever come off the line. What I can say is that every single one I have handled, fired, and hunted with have been spectacular. Vintage or current production.
The Smith and Wesson lever guns are also great. This is purely subjective, but I just prefer the looks of the Marlin myself.
Finally we have the Henry. I LOVE their .22s, but am not a huge fan of their larger bore rifles. This (as the above) is subjective, but in my hands, they just feel...for lack of better, "clunky". One feature that I do think could be useful, however, is the magazine tube. Specifically, the fact that you can load and unload the rifle with it, instead of having to rack each round through the chamber (cocking the hammer), like you must with both Marlins and the S&Ws.
Best of luck with your decision, and let us know what you wind up with!