Desire HD and Desire S are more or less the same phone in different sizes - they share the same resolution, same processor, same GPU, same RAM. The Desire HD has a better rear camera but no front camera which the Desire S does have, the Desire HD has slightly more on-board storage but both take up to 32GB micro SD cards, the Desire S has an S-LCD screen while the Desire HD is only LCD, the Desire S has a bigger battery so better battery life, and that's about it.
So it all comes down to preference - do you prefer the pocketability of a 3.7" screen, or the increased real estate for a 4.3" screen? Or do you want something inbetween, in which case you go for the Incredible S? All the same phone more or less, just in different size variants. And slightly different designs - I don't like the matte black of the Incredible S, but I know a lot of people do, for example.