For me, what matters most would be "Does this toolkit have the algorithm or feature I want to try out?" Since these toolkits provide a fairly diverse set of features you should first try to narrow down what it is you want to do.
So for example, if you have a burning desire to try out different evolutionary optimization algorithms then I would go with something like Shark.
On the other hand, I prefer dlib for most of my work but that doesn't necessarily mean a lot since I wrote it :) However, if you are interested in binary classification then let me suggest my current favorite method for that, the svm_c_ekm_trainer. I frequently use this to train non-linear SVMs on datasets of hundreds of thousands of points. It usually runs in a few minutes (or sometimes even seconds) while the classic SMO algorithm for this would take hours or days to finish.
There were also some good answers to a similar question asked not too long ago: Which machine learning library to use.