It all comes down to a matter of tastes really.
I have not seen the Vegas version so can not comment on that one. Set wise it is similar but expanded in some areas and has more of a wow factor, but as you may know it is greatly shortened.
As for NYC vs London, the show is the same. But there are small differences.
(You didnt mention if you saw London or Vegas already)
London is in a smaller theatre (distance from stage to back of auditorium) so there is more intimacy and even if youre at the back, you are closer than you would be if you were at the nice cheap seats in the bacl of the balcony of the Majestic.
London however has more obstructed seats, particularly in the top balcony if you are sitting to the sides. Majestic has great sight lines (unless you are at the back of the orchestra section)
The set in London is also alot smaller and almost cramped into the theatre, where as the Broadway one is bigger and has room to breathe. But this is a difference only a die hard fan would notice.
Lastly, the performances itself (all this is totally a metter of opinion) It has been said that London has more energy because the cast is changed often where as Broadway the cast hardly changes (but there was a recent change) so the Broadway verison can seem a bit stale. I prefer to see it as being the same and spot on all the time. Also as a matter of opinion, I have always found the Broadway vocals to be better than London. The London principals almost seem like regular singers who can 'sing high' (particularly Christine), where the Broadway vocals seem more operatic.
http://www.flickr.com/photos/27199361@N08/ Phantom at the Royal Empire Theatre