Scolipede
- Very fast and strong physically
- You can get it pretty early
- Learns moves like Megahorn, Strength, and Poison Jab
- Poison/Bug is a redundant offensive combo
- Four weaknesses
- Quite frail
Leavanny
- Decent Speed and solid Attack
- Swadloon is available early
- You can find Leavanny in the wild
- Gets moves like Leaf Blade, X-Scissor, and Swords Dance
- Friendship evolutions are annoying (You've already evolved, it but they still are, nothing can change my mind)
- Pathetically frail
- Tons of weaknesses to common types
Galvantula
- Fast, pretty good Special Attack
- A mere two weaknesses
- Compound Eyes is great
- Gets Bug Buzz, Thunder, Volt Switch, Energy Ball, and more
- Quite frail
- Obtained later than the other three
Heracross
- Monstrous Attack stat
- Guts is a phenomenal Ability
- Learns moves like Strength, Close Combat, and Megahorn
- Megahorn is at Leve 46, meaning your best STAB is Bug Bite until then
- You have a choice between annoying to find in Lostlorn, or easy to find on Route 12, much later
- Relatively frail
- Three weaknesses, including a 4x to Flying
You're a bit heavy on the physical attackers on your team, so I would say to go with Galvantula. Here's a set:
Galvantula @ anything
Ability: Compound Eyes
- Thunder / Thunderbolt / Discharge
- Signal Beam / Bug Buzz
- Energy Ball
- Volt Switch
If you do want to use one of the others, however, Heracross is the best physical attacker of the three.
Heracross @ anything
Ability: Guts
- Close Combat
- Megahorn
- Strength
- Rock Slide
Hope I helped!