You seemed to like HCMC/Regions the best! Fellowships are not competitive by any means and if you really wanted to do one, you'd be able to. Alumni from this program have gone to strong places for fellowships (MGH, Yale, UofM) so I wouldn't be too concerned about that. I agree that HCMC probably has the strongest clinical training since they seem to have the most number of psych beds of your programs, the earliest exposure to psychotherapy (2nd year has an outpatient focus), and access to a county population with lots of severe mental illness with Regions (and HealthPartners as a whole) balancing that out. You might have to go a little more out of your way to do research though.
If you really want to be in Minneapolis-St. Paul and if you are leaning more toward an academic career (given your desire to do a fellowship), then the U of M would be an excellent second choice too. It's definitely a less intense program with fewer call requirements (no call after 2nd year) and lower patient acuity than Hennepin/Regions so you may risk ending up undertrained. They also seem to do the bare minimum for psychotherapy but hey, the facilities are super nice! However, unless you want to be in mpls/st. paul and cannot fathom the thought of being in Rochester (1-1.5 hours away), I think Mayo has the stronger clinical training with better residents/faculty and access to more academic opportunities.
Mayo is strong in consult-liaison since they are a tertiary care center. You get to work with some of the leading physicians and residents in many different fields. Many of their residents publish because they are known to be more of a cush program with lots of faculty who are willing to mentor residents coupled with lots of downtime. They also have access to fellowships (addictions, psychosomatics, child/adolescent, and geriatrics), with the highest quality being psychosomatics and child/adolescent. If psychosomatics is your thing, then Mayo being an enormous referral center would probably be comparable to MGH for C/L training. However, their community psychiatry and severe mental illness exposure won't compare to that of your other two programs you're considering - it's actually one of the weakest parts of their residency program. Psychotherapy also starts year 2 at Mayo and you get a supervisor for it, but the number of supervision hours and different types of supervisors seem pretty low. You wouldn't have to travel much since everything is in one building pretty much and cost of living would definitely be much lower than in the Cities. In fact, many of the residents live <5-10 minutes walking to the hospital. Workflow runs very well at Mayo Clinic - they are famous for their integrated collaborate care model! However, if you can't stand wearing a suit every day, then don't put yourself through that. Otherwise, suit up and rank it highly.
Here's my suggestion for your rank order list:
1. Hennepin/Regions
2. Mayo
3. UofM
What happened to your other programs, such as Cleveland Clinic, OSU, Georgetown, UI, etc?