I'm not sure science can tell us which sweeteners are healthier than others. Some have a reputation as being more healthy, or less, but if you really dig into the research and can evaluate the strength of the evidence (which requires a background in research methodology) the waters only get muddier and muddier.
Stevia has a reputation for being healthier and safer, but there's been very little research on stevia and some of it is disturbing especially women who are trying to conceive (or not trying to avoid it). In rodents, stevia is linked to reproductive birth defects in the male offspring of female rats and hamsters who were given stevia during pregnancy. Essentially, sons may be born with small genitalia and/or impaired fertility.
Maybe this doesn't happen in humans. Maybe it does.
Xlitol (birch sugar) is also considered "more natural" because it does occur naturally in fruits and tree sap. It's about as processed as white sugar, but contains fewer useable calories. It also can have a laxative effect, though this varies considerably from person to person and by dose.
Agave nectar is a highly processed, high fructose syrup, so it isn't any better than HFCS, despite it's healthier reputation.
Personally, I think the best strategy is to use multiple sweeteners for several reasons. 1. It's likely to minimize the risks of any one. 2. You can usually use less by blending sweeteners. For many sweeteners, combining them makes them sweeter (essentially 2 + 2 = 5). 3. Flavor profile. Some sweeteners just taste better in some uses than others.
The downside is that doing so is initially costlier than using only one.