I've heard more good things about the Afterglow. Lelo's I've heard has some issues with melting evenly... Shunga sounds like it has problems with feeling a bit waxy. I don't see complaints about the Bwarm really, but Afterglow is prettier to me
I haven't tried any of these, but I read a review that included the burn time for the Afterglow and how many massages you could get out of it. I would go with the Afterglow. I want to get one while they're on sale right now.
I'm going to get Afterglow candles because they are on sale right now. Next I want Bwarm and then the Lelo. Shunga, ehh... I'm not too excited about that one because I'd rather just get the massage oil instead.