I'm a bit of a radio geek. I have all three of the radios I mentioned above. I've also done a lot of reading about radios in general and these radios specifically. Believe it or not, there are yahoo groups dedicated to each of them.
As far as sensitivity, it's pretty much a toss-up. One radio will get a weak signal on one part of the dial where the other will get nothing. In another tuning range it will be reversed. Unless you're trying to pull in stations from across the ocean (which none of these radios is really capable of), you're unlikely to notice any practical difference in sensitivity between any of these radios.
Selectivity is a different issue. Both the GE and the CCR+ have filters designed to provide decent sound on local stations, but are more than a bit too wide for serious DXing. The Grundig has separate wide and narrow filters. Neither is of particularly good quality, but the narrow one is definitely narrower than the ones on the SR3 and the CCR+. (If you're willing to spend even more, Kiwa Electronics,
www.kiwa.com, can replace the filters in the Grundig with much higher quality ones that will put the Grundig way out in front on selectivity.)
The biggest problem with the SR3 is with the analog tuning. The dial is very non-linear and stations near the upper end are really crowded together. Trying to pull in a weak station sandwiched between two stronger ones can be a real exercise in frustration. Due to the large amount of hysteresis, it's very easy to keep overshooting the sweet spot when trying to tune in such a station. This is definitely one area where the CCR+ has it all over the SR3. The digital readout also makes it a snap to figure out what frequency you have tuned. The Grundig is between the SR3 and the CCR+ in this area. It also has non-linear analog tuning, but the spread on MW makes it much less of an issue than it is on the SR3. (Such is not always the case with SW reception on the Grundig.) The Grundig also has a digital readout so it's easy to see what you've got tuned in.
Sound-wise, the SR3, with its two-way speaker system and large bass speaker is the clear winner. It's also capable of going beyond room-filling sound. If you want something to take to the beach or use outside while you're doing chores around the house, the SR3 would be an excellent choice. I would put the Grundig second in sound quality, though it is not capable of producing the same volume levels as either of the other two. I can't get the Grundig loud enough to hear over the sound of the shower unless I turn it up so high it's badly distorting. The CCR+ has a good, solid sound, but does not have the fidelity of the other two.
The CCR+ has some geeky advantages over the other two, such as allowing an external antenna to switch out the internal ferrite bar. There are also the weather band and VHF TV audio. It also has a weather alert feature that will silently monitor the weather station for severe weather alert signals and set off an alarm if one is received. This feature is only practical if you have the radio running off mains power. It will drain the batteries rather quickly otherwise.
If I could keep only one of these radios, I'd go with the Grundig. I think it's the best combination of features and price. The CCR+ is a good, quality radio... it's just way too expensive. $100 would be a much fairer price.
If you go for the CCR+ and plan to move it around at all, I strongly recommend going for one of the carry "cases" Crane sells. They're both outrageously expensive for what you get, but having a convenient handle is still worth the price. The "handle" on the CCR+ is just an indentation in the back and is not a secure way to carry the radio.