They are all very similar, but there are also slight differences in use.

Both actually and in fact can be used to modify or contradict a previous statement:

I hear that you're a doctor. ~ Well, actually, I'm a dentist.
Well, it may sound very straightforward to you, but in fact it's all very complicated.
Would you agree with me that teachers should refrain from socialising with their students? ~ Well, actually I think it's a good idea for them to socialise - up to a certain point!

Actually and in fact can also be used to introduce more detailed information or to make things clearer or more precise:

I'm going to take on a bit more responsibility now that Kevin's left ~ John, that's wonderful news. ~ Yes, well, actually / in fact I've been promoted to senior sales manager.

I got so bored listening to what he was saying that I actually fell asleep / in fact I fell asleep half way through his presentation.

Note that we can also use in actual fact or as a matter of fact to clarify matters or to introduce new information:

I got so bored with what he was saying that in actual fact / as a matter of fact I dozed off before he'd finished speaking.

Actually is sometimes used to introduce unwelcome news:

Richard wants to invite us to spend the weekend at his cottage in the Lake District. Isn't that exciting? ~ Well, actually, I've already said we can't go.

Note that when actually is placed at the end of the clause, it confirms news that others do not expect:

I don't suppose you've posted my letters, have you? ~ I have, actually.
Did you enjoy that modern opera at Covent Garden? ~ I did, actually. Very much.

well

Well is more widely used as a discourse marker than in fact or actually. As we can see from the examples above and below it is very widely used to indicate that we are about to say something. It is sometimes used to give the speaker more time to think:

So how much do you want for your 1999 Renault? ~ Well, I was thinking of £2,500.
So how do you propose to furnish the house? ~ Well, I thought we might invest in some second-hand furniture.

Well is also used to introduce a statement which indicates that expectations have not been fulfilled:

You know I said I thought I might go skiing with Jamie this year? Well, I'm not going to now.
How was the tennis lesson? ~ Well, in actual fact, we forgot to go.

Well can also be used to soften corrections or criticism:

You live in South Kensington, don't you? Well, Pimlico, actually.
You do like my yellow dress, don't you? ~ Well, yes, it's quite nice. But I think the blue one would have suited you more.
Why didn't you give Bob a lift back home? ~ Well, how was I supposed to know he was at the match?
I couldn't find my way to the music centre. ~ Well, why didn't you ask me?

Well can also serve to introduce important information:

You know I've been seeing a lot of Eddie lately? ~ Hmm. ~ Well, we're going to get engaged.

Oh well!

If you say oh well, you are saying that you accept the situation as it is, even though you are not very happy about it:

I'm afraid you'll have to pull out of the trip to Greece. ~ Oh well, it doesn't matter.

I'm afraid I forget to save that document and now I've lost it. ~ Oh well, it can't be helped. I'll just have to re-type it.

If you want to practise your English by writing some sentences, here's a task.

Watch or record the interviews with correspondents in the news broadcasts on BBC World and notice how often they use well to gain time before replying. Here is an example:

So what's in store now that George Bush has got a free hand in Congress? ~ Well, domestically I think he'll push for more tax cuts and internationally he'll look for a toughly worded resolution from the UN.

Then list them on our Message Board in the You, Me and Us part of our website.

Your sentences will be corrected!