My stomping ground too so will share my views. Disclaimer is that I haven't looked at prices for a year or two so could be wrong, it has been known!
Duxford - great airfield to fly from, lots to see and do for sure. If price isn't an issue then it gets my vote, but probably a bit more expensive than some.
Cambridge - good to get experience at an airfield with full ATC but probably the most expensive of them all.
Bourn - proper grass roots airfield. Don't expect much from the facilities but you'll get a decent feel for real world GA!
Connington - decent little airfield with a good club atmosphere and nice café.
Fenland - don't know much about the place but a decent grass strip and nice café.
Sibson - this is where I did my PPL. Nice place and people and they use the Robin HR200s which (in my opinion) are a far nicer aircraft to fly than the Cessnas. Can get pretty boggy when wet though so you might have a few cancelled lessons in the rainy season.
Cranfield and Henlow are probably a bit too far from Ely unless there's a real desire to use them above the others.
As has already been said, the best thing you can do is visit them all and have a chat with the clubs. Different people will prefer different places and there's a world of difference between Bourn at one end of the spectrum and Cambridge at the other.