You are talking about three very different venues, and the best answer may depend on the composition of your family. I'm also assuming (from your signature) that you are vacationing in April '06. If the time of the visit is different, that could well affect your choice.
Vero - Vero is on the Atlantic Coast, which means real ocean. Depending on the winds, you could have great surf, and you are sure to have much more wave action and more of a pronounced drop-off in water depth. Vero is not really near anything, although Kennedy Space Center is easily driveable. Seems to me, Vero would be the choice for a quiet, restful time. In April, the water will be cold to us, but may be fine for you.
Sarasota - To me, Sarasota is one of the prettiest parts of Florida. It will eventually get overbuilt and generic, but it's not there yet. The water, as others have mentioned, is the Gulf of Mexico, which will be warmer than the Atlantic and virtually wave-free. If you have small children, the Gulf (either Sarasota or Marco) may be more enjoyable for them. Algae blooms (red tide, etc) are occasional events and I certainly would not worry about them much.
You mentioned Siesta Key, which is south of Sarasota. The other, more prominent area is Longboat Key. St Armand's Circle in Longboat is one of my favorite places in Florida to just walk around. A stop at the Columbia Restaurant (very famous Ybor City Spanish restaurant) for a 1905 Salad and one or more Ybor Golds is required on every trip. There are several wonderful restaurants in the Longboat Key area, in addition to the Columbia.
We've only stayed at Longboat once (several years ago). We stayed at the Hilton, which is a place I will NEVER stay again. It was a dump - cheaply constructed, dingy and dank, really awful. They have a policy of forfeiting your room rent if you check out early, which tells you a lot. But there are many nice places to stay in Longboat.
Marco -- As mentioned, Marco Island is much more of a touristy area, located south of Naples on the Gulf. If you don't mind touristy, it's a great place. In addition to beach stuff, Marco is near Naples, which is a beautiful town.
If you are into nature, Marco is easily the best choice. Audubon's Corkscrew Swamp Sanctuary is nearby, as is Fakahatchee Strand State Preserve (home of the Ghost Orchids) and Ding Darling Preserve on Sanibel Island. To the south is the Gulf Coast entrance to Everglades National Park (at Everglades City). To the east are Big Cypress National Preserve (home of the endangered Florida Panther) and the Shark Valley entrance of Everglades National Park -- by far the best place to experience the Everglades. (Everglades NP is home to 69 endangered and threatened species.)
In April, you should have nesting Wood Storks (endangered) at Corkscrew. At Big Cy and Everglades, you will see numerous individual birds, but the big flocks will have moved out. However, the water levels in Everglades will be very low, which means the wildlife will be concentrated around the remaining water. If you take the two-hour Shark Valley tram tour, you will see literally hundreds of alligators up close and personal.
Good luck with your planning and have a great trip!
Siesta Key is a very wide beach with powder white (quartz) sand. The public beach area is quite large with plenty of parking. The gulf is usually very calm with few waves. I haven't been to Vero or Marco since we had the hurricanes visit last summer--so I'm not sure of any damage to those beaches. I do know that if you are looking for waves (the Atlantic Ocean kind) then Vero is the place to go. 
