RF seems to be easier to handle than bluetooth.
By "RF" you mean Radio Frequency? If so, Bluetooth is a RF device.
Using HC-05 modules makes using Bluetooth pretty easy but then there are lots of easy ways to communicate between boards.
SPI seems to handle mutliple devices easier than I2C, so if I wanted to connect to 3 devices to my arduino wirelessly and control them virtually simultaneously, how would I go about doing that?
I suppose it depends on what "virtually simultaneously" means.
I don't understand your reference to I2C and SPI and "wirelessly" in the same sentence. Do you want to interface with the wireless device with I2C or SPI.
Can xbee connect to multiple devices?
Yes. At least with the Zigbee versions you can. You could use a "broadcast" address to send a message to all the XBees using one particular system address (I forget the correct term).
Most wireless devices can transmit to multiple devices one after the other.
XBees are nice but expensive. IMO, there are lots of less expensive options which work nearly as well (or perhaps better).
Bottom line, I want to get some sort of signal to my other devices, wither I2C, SPI, something to control some LED drivers on one device, a power relay switch on another, and receive sensor results from another. (So two way wireless comms.)
What is the best protocol to use and the best way to make it wireless? Would it be easier to use several arduino boards to talk wirelessly? Would that be something xbee could handle?
I2C and SPI are wired protocols. You keep mixing them in with wireless communication.
IMO, you should either use the $2 nRF24L01+ modules or Bluetooth modules. At least these two options won't cost much. You can get HC-05 modules on ebay for $4. The HC-05 modules can act as either a master or a slave device. HC-06 modules are slave devices only.
Bluetooth is generally one to one communication. I believe you could change the target Bluetooth module from within the program but I've never done this myself. I have used nRF24L01+ modules to transmit to multiple targets so I know this is possible. I'm 98% sure it's also possible with HC-05 modules.
The RN42-XV or XBee devices would also be an option but they cost a lot more. I don't think these other devices are worth the extra expense.