While in SXM, we have taken day trips to Saba and Sint Eustatius. We have been to St. Kitts on a cruise.
We took the ferry to and from Saba. The trip can be rough. Several people in our group opted to fly back from Saba rather than take the ferry again. They were quite seasick on the way over. We did not have any problems with the rough seas - I actually enjoyed the ferry trip.

On the island, we were part of a taxi tour. The place is very small but quite beautiful. Very green due to the moisture constantly coming down the mountain. When my husband worked in Anguilla many, many years ago, he used to go to Saba to hunt goats (there were zillions of them) on weekends. If you climb to the top of the island, you are above the clouds most days. There are no beaches but great scuba diving.

We flew to Sint Eustatius mainly because I wanted to experience a flight on a small plane. We took a 20-seater over and a 10 seater (including the pilot) back. Loved both flights. At that time, taxis were scarce. Our taxi driver doubled as the local ambulance driver so part of our tour involved taking a lady to the medical clinic. There are black sand beaches on Sint Eustatius and, as I recall, lots of cows. The island has a place in American history for the part it played in the American Revolutionary War. An interesting little museum there, if you are a history buff. If you like hiking, you can hike up into the interior of the island.

Never been to Nevis but, again, if you are a history buff, I believe Alexander Hamilton was born there.

We only spent part of a day in St. Kitts on a cruise. I was not impressed and never went back, although we did go back to other islands that we visited on the cruise.
If I had to rank the 4 islands for a visit, it would be: Saba, St. Eustatius, Nevis, St. Kitts, in that order.