The health effects are largely the same—your body doesn’t do much with these sweeteners, and they’re used in small quantities to begin with. Saccharine was thought to be unsafe after experiments in the 1970s, but the modern consensus post 2000 is that it is, in fact, safe.
Xylitol is the odd one out because it has calories, just 40% less than ordinary sugar. It’s being sold as something with all sorts of amazing health effects—fewer calories, lower glycemic index, etc. Some of these are overstated. I think most of these are overstated. IMO it is more convenient to just eat less sugar. Unlike most sweeteners, you can bake with xylitol, more or less. Some people find it irritates their stomach.
Stuff like sucralose and stevia are convenient and easy to source. YMMV, the only reason I’m having an artificial sweetener to begin with is because it’s in a factory product like soda or chewing gum, so I’m stuck with whatever the choice is off the shelf. If I’m cooking or baking, I look for recipes that use less sugar to begin with or I just eat less of the final product.