I have used both Marathons and Marathon slicks and a friend of mine uses Marathon Plus. The Marathon slicks are definately faster and lighter than the others and offer better puncture protection than nearly any other slick. The Marathons are a little heavier and slower and even tougher with a modest inverted tread pattern. The Marathon Plus is a very heavy tire and is 2-3+ MPH slower than the Marathon Slick but looks like it could handle anything. I'd probably go with the Slicks and liners if your really paranoid. I put nearly 5000 miles through mostly poor neighborhoods of Cleveland on my commute with only one flat on the Slicks.
Craig