wendelb
I have experience with three of your choices: the SIG P-238, the S&W Bodyguard, and the KelTec P-3AT.
If you're okay with the SAO of the P-238, then that would be my first choice. The newer ones seem to have overcome the earlier problems, are easy and pleasant to shoot, and are surprisingly accurate. Very well made with good ergonomics and real sights, yet not too heavy for pocket carry.
My second choice would be the DAO Bodyguard. I don't have much need for the laser and its on/off buttons aren't as intuitive as some others are, but I doubt I would ever use it anyways. It also has a thumb safety, which again I don't think I would use because the gun is DAO, and the safety is rather stiff in its operation and makes a loud "clacking" sound when it's used. But at least it's there if you're so inclined. The DAO operation itself is quite smooth and even; definitely better than that found on a P-3AT or an LCP. Like the P-238, the Bodyguard is made from quality materials, has a good set of "real" sights, and is also easily carried (with the proper holster), in your pants pocket.
While the P-3AT is not as nicely made or as refined as the other two, it still is a viable choice for pocket carry. Lightweight, easily concealable, with a proven DAO design, the P-3AT offers you a decent reliable gun at a very affordable price.