"Bewilder" in its most literal sense means someone takes you into the wilderness and leaves you there. As a feeling, you're lost. "Confuse" means mix things together (in an abstract sense) so that you can't tell the difference. "Baffle" has an interesting word-history, so do look it up. There's a sense of obstruction or prevention in the modern sense, if that helps you define the meaning more clearly. You can even look at images for "sound baffle", "water baffle" or "air baffle" and imagine an idea or thoughts in place of the physical things. Also, keep in mind that these are things you do other people. If you use these words as feelings that you have, then you need the past participle form: I'm bewildered/confused/baffled.

I'd say they're fairly synonymous. "Bewilder" is quite strong, and has almost a poetic or literary sense (in my opinion). It's not as much an "every day" word as "confuse." It also, I think, carries psychological overtones (or undertones). "Baffle" to my mind has the sense of "stumped" -- ie., an intellectual challenge that one has not solved yet. "Confuse" is definitely most common, straightforward of the three words you've provided here. Other English speakers will no doubt have different opinions!