Out of the 3 Conferences it is pretty tough to declare a winner since each company did different plans of attack. Let's look at them:
Microsoft: They chose to show off the games coming out before the end of the year and show nothing of future games, which they've chosen to show in the private meetings with the press. They had developer representatives come out and show off their games in live demonstrations - some went right (Call of Duty 4, Gears of War PC) some went wrong (Assassin's Creed, Rock Band), but in the end there was a lot more live in-game play shown than in any other conference.
Nintendo: They chose to show off their dominance in portables and consoles with numbers and chose to show off their ability to get even non-gamers to play games. They showed off two upcoming games by having Nintendo-based website writers play them: Zelda: Phantom Hourglass and Metroid 3: Corruption. They also showed off future ideas like the Zapper, Wii Fit and the fact that Mario Kart Wii is coming.
Sony: Sony chose to show off the future. They showed bits and pieces of Home and how it will interact with the world at large as well as the PS3. They showed off some interesting Playstation Network games that are coming (like EchoChrome, WarHawk and Wipeout HD) and showed games we already knew about (Ratchet & Clank: Tools of Destruction, Uncharted: Drake's Fortune) as well as a surprise (Sucker Punch's inFamous). They didn't give any sort of dates for games outside of Unreal Tournament 3 in November.
If I was to rate them in order I'd probably say it went:
1. Sony
2. Microsoft
3. Nintendo
Sony saved face from the tons of PR disasters they've had since E3 of last year, Microsoft pretty much did the same thing they always do and Nintendo is now where Sony was in the last generation: they don't have to show all their cards and can beat us with the numbers train.