I don't own any of the 3, but want to add some perspective on the choices.
SGOL has the lowest expense ratio (0.17%, versus IAU at 0.25% and GLD at 0.40%), so you save money there.
SGOL is smaller, but still has $1.3 billion in assets. According to etfdb, it had $1.1 billion of those assets 5 years ago. So it's been around, and been stable.
ETFs with over a billion in assets are liquid: you can expect to buy and sell easily, and within a narrow range of prices.
Every so often I consider if I want to add a gold ETF to my portfolio, and in the past I've thought IAU is the best choice. I guess I'm mostly posting since I'm surprised there was a better choice for years now: SGOL. Still haven't bought, though, as the lack of "expected real return" bothers me (stocks grow and have dividends, bonds issue interest... gold just changes price).