Basically, they're all bad for different reasons, and, depending on the type of person you are, those reasons can determine which one is actually worse on a person to person basis. Does that make sense?
Meth is probably the worst for you physically and mentally. It can completely destroy your CNS. There was a guy in the rehab I went to that smoked every day for 22 years. Every fucking day. When I met him, he was in his late forties, all his teath were fucked up, and he couldn't quit moving his jaw, his legs, or his arms. We would all sit down to watch a movie with the lights off, and while everyone else was falling asleep, he'd just be going a thousand miles an hour.
Alcohol is pretty bad on your body also. It can fuck up your liver, and cause stomach cancer. Withdrawing from an every day drinking habit, if you've done it long enough, can lead to ceasures and can acutally kill you. They usually have to use benzos to aid with the withdrawls if they're to that point.
Benzos can do the same thing, but there is nothing to help with the w/ds except more benzos, so they'll usually have you taper down, or switch you to one with a shorter half-life.
Cigarettes cause lung cancer, emphysema, and yellow your teeth (obviously, we've heard that since we were five).
Opiates (my DOC) really don't do that much bad to you physically, other that the ROA you choose. Obviously shooting destroys your veins, snorting fucks up your nasal cavities, and smoking is bad for lungs and throat. But as for w/ds killing you, they can't, and as for long lasting effects, there aren't many. BUT - the w/ds can be so uncomfortable, that you'll do ANYTHING to avoid them. This is what gives opiate addicts such a bad stigma. A lot of them resort to stealing and shit to get their fix, and call in to work if they can't get fixed cuz they're too sick.
Cocaine can cause psychosis/paranoya, and is extremely psychologically addictive. It interracts with your pleasure and reward center in your brain, telling it that cocaine = good, and that you NEED it. A lot of people steal to support this habit too. Malnutrition is also common with coke addicts.
Ecstacy can cause emotional and anxiety problems in chronic / heavy users. Using heavily for a while and then trying to abruptly stop can cause SEVERE depression.
Anyway, my point is, they can all be just as bad as eachother, and can also be fine. It just depeds on the person's physiology, actions, and attitude about it.