There's some really good feedback and comparison of the four military academies here, so I thought I'd go ahead and throw in my $.02 based off my own observations and those of my friends who did exchange this semester.
USMA academics come easier, you can close your door during the workday and sleep. Lots more autonomy. They say the campus is beautiful during the fall. Summer training is very outdoorsy and ground pounder based. Liberty policy isn't that good because they're in a rural area and have to go to the City for more interesting things to do.
USAFA IS the most laid back of the four. My friends who are there this semester had a blast, and most of them got to either learn to fly a plane or earn their jump wings. You can own a car, drink on base when you're done with classes, and wear civies! It's a bit of a drive to C springs though. For mechanical/civil engineers this was a pretty tough semester for them, so I can't say too much outside of that on their academics.
USNA is big, and they have a very good relationship with the town of Annapolis. Liberty policy isn't that good for 4/c and 3/c since they have to wear the uniform out, but classes seem pretty easy. Like everyone said, there's lots of different opportunities for what field you want to serve in. (downside is you've gotta deal with SWO's if you go afloat
).
USCGA is definitely the most strict, but I do think we're legitimately excited about what we're going to be doing. We can't stream video/multimedia during the workday, and we have monthly uniform/room inspections. Drill's every Friday during the spring. Smallest out of the four, so you get to know people really well (some of the exchangers who came here this past semester feel like they know us better than their own classmates). Can't close your door until 1600 to sleep. Academics are hard, but semesters are shorter do to our schedule (I'm getting 3 1/2 weeks of leave, when my friends on exchange haven't even left yet). Summers are amazing and rewarding. Lots of good places to go after graduation, and can always apply for flight school after the first tour if you don't get it the first time around. If your interested in ships, you could become a Commanding Officer after 2 years from graduation.