I can't really compare Wengen, since I only know it from the descriptions of others. But, I can give an idea of what St. Anton and Val d'Isere are like.
St. Anton isn't the prettiest ski town in the Alps, but it is pretty in a subtle way. The town sits between the river and the mountain, so it's long but fairly narrow and fairly flat. That makes it pretty easy to walk around. And if you're staying in town, you're no more than 5 minutes from one of the lifts.
The location is pretty convenient, as it's on the train line between Zurich and Vienna. Zurich is about 2:20 away, and Innsbruck (if you can get a flight there) is about 1:00 away. The combined ski area isn't fully linked up yet, as you still have to take a bus between Stuben and Zurs to get from one side to the other. But, each side of the area is big enough that the bus ride isn't too much of an inconvenience; once you get to the other side, you ski there all day, rather than going back and forth multiple times a day. The mountains aren't the biggest, but they offer a good amount of vertical and plenty of challenging terrain.
So even though it doesn't win the title of biggest/prettiest/best in any particularly category, it's a great all-round ski town.
Val d'Isere isn't quite as pretty. It tries to look pretty, but it's a bit artificial. Too many buildings look like new buildings built to look like old buildings, whereas other resorts simply have nice looking old buildings. That said, it's not an ugly town by any means. Like St. Anton, it's a fairly long and fairly flat town that's not difficult to get around on foot. Parts of it are farther from the lifts, but they have free shuttles running all the time.
It's at a higher altitude than St. Anton, which is both good and bad. The good is that the altitude helps keep the snow in good condition. The bad is that there isn't much terrain below tree line that you can ski when visibility is bad. The mountains are also bigger than in St. Anton, but there aren't really any pistes where you can ski the entire amount of vertical in one go. That said, the combined ski area with Tignes is one of the most conveniently laid-out areas I've ever skied, and there's plenty of challenging terrain (even some of the terrain just off piste in the ski tranquille area is fun).
But, it isn't a conveniently located town. It's about 3:30 from Geneva and 3:00 from Grenoble, and you'll pass a couple of similarly big ski areas on the way.