I've only used Endometrin and Crinone... my RE doesn't use PIO.
The dirty details, neither of them are really that pleasant. I find the Endometrin to be less messy. Meaning that there are occasional chunks goop that come out, but it isn't too bad. My nurse also recommended a "finger sweep" to help with some of the larger pieces that aren't absorbed.
A pantyliner is a must with both. The Crinone on the other hand... EWH! Much messier!
Hope this info helps! :)