I would say out of those choices, i'd get the iPhone 3GS.
The Blackberry offers nothing over the other 2. Well maybe a slightly better battery life. It's biggest feature is push e-mail, but if you get mobile me or have a gmail or that, you can get that on the iPhone. Also the BlackBerry App World is mince. It doesn't have much, and is expensive too. And the iPhone and the HD2 have much better, larger screens.
Never used an HTC HD2, but i am not a fan of WinMo, and AFAIK WinMo 6.5 is just the same old Windows CE reskinned yet again.
Don't let the idea of a physical keyboard on a blackberry be a decider, as the iPhone in portrait mode (and likely the HD2) is excellent, and a lot easier to type on than a BlackBerry (i have an 8900 for work). And the iPhone as superb auto correction compared to other phones.