Late to the party. I've driven/owned all three, granted a lot older than you are looking at.
Merc - I believe it's just a Megane in drag. I'm not a fan of Mercs, expensive to maintain and the suspension is far too crashy for modern road conditions. (Driven a friends car a few times, he's had about 4 of them)
Golf - Or as I prefer to call them, Flog (as I consider them a bit backwards). Adequate, but bland. I wasn't a fan of the offset steering in the one I had (the steering wheel was 1-1.5 inches over to the right, meaning I was twisted in the seat whilst driving it.) (Company car for 6 months, did about 2k a month)
Civic - I like them. Reliable, not bad on fuel, toys are aplenty and quite a fun drive when pushing on. OK mine is the Type S (2.0 lukewarm version), I'd certainly buy another one, especially with the K20/K24 engine, these are tunable and pretty bulletproof. (Owned for about 18 months)