I've used Honduran Mahogany and Luan (Philippine Mahogany). Honduran is the good stuff and is slightly harder/more dense and a little darker than Luan. Luan is much more commonly available.
I believe they're actually from two entirely different families. They just look similar. Both work well. I just prefer Honduran.
I haven't worked with Sapele but can't think of any reasons not to use it.