Washington 1984 published a review article about diversity indices (focus aquatic ecosystems): http://www.sciencedirect.com/science/article/pii/0043135484901647/pdf?md5=847110983ca7349829410eac1132a19c&pid=1-s2.0-0043135484901647-main.pdf
These different indices, although they are measures of diversity, capture in fact different things. The examples you gave correspond, for instance, a capturing dominance of certain species (Simpson) and a combination of species richness and regularity (S-W). I could provide you easily examples of data sets in which you only capture the fact that differences exist between the communities using several indices complementary. I use to carry out this exercise in my lectures.
I would highly recommend you have a look at Andrew Stirling's work on diversity. He defines diversity as a mix of variety, balance and disparity. He also provides interesting arguments to prefer Shannon over Simpson.
Basically, the diversity of a system can only be assessed when its elements (i.e. the most basic units for the analysis) have been grouped into categories. Once this categorization has been done, variety corresponds to the number of categories; balance to the way the elements are spread among categories ; disparity to the level of difference between the categories (e.g. between every pair of them or between the two most distinct).
While most research is applied to biodiversity, he shows it can be applied to other fields like diversity of energy portfolios or (my field) cultural diversity.
I ma not going to tell you about the differences among various indices but the applicability of these indices.So, species diversity indices is a statistical abstraction having two components-one reflecting the number of species (richness) and other is distribution of individual of all species at a particular site (abundance).If you want to measure species richness you can use Margalef's richness index and Shannon & Simpson indices are there for measuring abundance as well. Moreover, applicability of using more indices lies in cross validating the data and to see variation in the same dataset.
I would like to add an important point I 've already highlighted for another question regarding biodiversity indices.
Be careful as almost all these indices do not match what ecologist expect from a biodiversity measure. First of all, all indices relying on individual counts (raw frequencies) consider all individuals of a given community as identical. That's a strange point of view when you speak about diversity. Then, from indices point of view, the most diverse communities are completely even. So we should tend toward ecosystems with as much predators as their preys...There are other points to develop but this would take a long message.
So, question yourself on the utility of a tool which basic ground go against the rare observations that can be trusted by ecologists (maybe considered as laws).
Does this mean that these indices are stupid ? Clearly no, but their application are generally blind as they come from information theory or physics and not from biological sciences.
Shannon index, the idea behind this index is that the diversity of a community is similar to the amount of information in a code or message. Typical values are generally between 1.5 and 3.5 in most ecological studies, and the index is rarely greater than 4. The Shannon index increases as both the richness and the evenness of the community increase. The fact that the index incorporates both components of biodiversity can be seen as both a strength and a weakness. It is a strength because it provides a simple, synthetic summary, but it is a weakness because it makes it difficult to compare communities that differ greatly in richness .Shannon index ,the idea behind this index is that the diversity of a community is similar to the amount of information in a code or message.