Well, I've had/have all birds mentioned here at one time or another...budgies (had 2), cockatiel (currently have 4) and a green cheek conure (currently have 1).
I love(d) them ALL and each individually for their specific personality.
My budgies...Bobo and Joker were so adorable together, they chirped and whistled and chattered, preened each other and I LOVED it...but I was new to birds and rather unsuccessful at hand taming them very well. I let them out all the time and sometimes they'd hang with me, but most of the time they preferred each others company.
This is not to say I didn't absolutely enjoy them! They were very active in their cage, loved their mirrors, bells and millet. And male budgies can learn to talk/mimic very very well. Budgies are very intelligent, but a bit more "flighty" when it comes to taming them down if you don't get one already tame.
Several years later and much more knowledgeable, I was given a male cockatiel. He became the light of my life! After I lost him, I had no desire to have another bird for over 5 years, and then all the sudden, the urge hit and I had to have another bird in the house, so I ran to the first pet store along the freeway and purchased a lutino cockatiel whom I was told was a male. Turned out he is a SHE and she LOVES my spouse. She is so sweet! She never bites, she's happy to hang out on our shoulder and just be there, occasionally preening our hair, but mostly just loves to hang out.
She's rather quiet as most female cockatiels are. Then we acquired a baby male cockatiel who has become quite the amazing talker for a cockatiel and then I rescued 2 more cockatiels (a brother and sister) that I couldn't seem to let myself part with and that's how we ended up with 4. They are wonderful parrots, a definite middle of the road between a budgie and a conure.
Another time, on our visit to the pet store, this adorable little conure saw us and started jumping up and down, regurgitating, rolling around on his back and doing summersaults, and BEGGING To come out of the cage...so because he so clearly picked us...and because we are suckers for the adorable...we brought him home too!
My experience with conures, compared to budgies and cockatiels is this:
They, at least ours is...much more hands on. He is amazing fun, but unlike our cockatiels who are happy to just quietly hang out on our shoulder while we read or watch tv...Franklin (our conure) see's us as a human jungle jym, he's hardly ever still, constantly on the go, climbing, burrowing under our hair, hoods, blankets, shirt necklines etc...a book is not meant to be read, its something fun to shred, a TV? Who needs that...watch ME! You're eating something...oh it MUST be my favorite...is that a bottle or can you just opened...well, let me belly up and have a sip too! And you KNOW I can't live without you sharing your tea...as he's diving in my mug.
He talks, he plays both with us and independently, he is flighted, but prefers to walk, hop and climb everywhere, only flying when terribly startled, which is very hard to do. He's learning new words every day, constantly entertaining us whether in his cage or out and I can't imagine our lives without him.
That being said, I think you need to decide on what you are looking for in a relationship with your bird...if you are looking for, smart, entertaining, mostly quiet and not very demanding with the potential to learn tricks and mimicing/talking, then go with the budige or two...if you want to relax with your bird, and want something more mellow, then my vote is a cockatiel (male if you want whistling/talking) and if you want "ADHD" with a splash of "Bipolar" (and I don't mean any disprespect to anyone!!)...DEFINITELY get a green cheek!
Good Luck with what ever breed you choose. Clearly, I love them all!
Toni