I've done all three - stair machine (the one that is like a treadmill but with stairs), elliptical without arms, and elliptical with arms. The stair machine kills me. I don't know if I set at a harder level than I do the ellipticals or if it is because it sets the pace and I have to keep up with it (whereas I have to force myself to keep up the pace on the elliptical), but it seems way harder. By the end of my 15 minutes on it, I'm always at a high level of exertion. And, on top of that, it also tells me I burn fewer calories than the elliptical does. I think very bad thoughts about it because of this.
But I keep it in my workout routine anyway because 1) it is supposed to be good to mix things up and 2) all of this stuff is so darn boring it's just a little bit easier to get through my workout if I do 15 min on the stair machine and 25 min on the elliptical, rather than 45 min total on the elliptical. And I know those calorie counts are off anyway.
I haven't taken my heart rate on any of them so I don't know if my level of exertion is the same or higher on the stair machine. I don't have a heart rate monitor and anyone that can manage to accurately count their pulse for ten seconds and then actually multiply that number by six while at a high level of exertion--well, that person is way better at counting and math than I am, LOL!