I would say that losing your body is the most painful of the three. (I think what made it especially painful was the fact that Voldemort's soul was so torn; rebounding curses or other means of magical death is not necessarily painful for other wizards--Voldemort just invoked a lot of Dark Magic to do something completely against the laws of nature.)
I think it may have been initially slightly painful for Voldemort to rip his soul, but I doubt it. As it went on, it got less and less so, if it was ever painful to begin with. Especially by the sixth Horcrux, he would hardly feel it. (The fact that he didn't even realize he make Harry into a Horcrux supports this.)
I think for somebody like Harry, creating a Horcrux would be quite painful and upsetting, but for Voldemort, who was already so far gone, it was not.
I cannot find the quote, but somewhere in DH, Hermione talks about remorse, and how that's the only thing that can reassemble the soul of somebody who's created Horcruxes. But, she says, "the pain of it can destroy you." (I'm paraphrasing here, but I'm pretty sure that's close to the mark.) If the soul going back together again is painful, I feel like for some reason, that its initial breaking might not be too bad. Voldemort is clearly not a great handler of pain--I doubt he would have an easy time stomaching something if it were too painful for him.
If it were a character other than Voldemort, it depends on how far "gone" they are. As we can see, by the end of it, Voldemort didn't even notice when Horcruxes were being made or destroyed. If somebody had one Horcrux, I can imagine that the pain of creating it might be significant. Still, though, if I were to rank them in terms of pain for anybody, it would be:
1. Soul being ripped from body
3. Creating a Horcrux
And I think a character with Horcruxes feeling remorse, and thereby having their soul attempt to piece itself back together, would be more painful than all of this.