The animation below shows the view towards the northwest horizon each evening at 10pm from May 20th until the end of the month. Conjunctions are a great chance to see the clockwork motion of the planets - the shifting aspect of the planets over each evening is very obvious.
Venus is the brightest planet (magnitude -3.9) and about six times brighter than Jupiter (magnitude -1.9). Mercury is the dimmest of the three planets. It races around the Sun faster than the other two and the portion of it illuminated by the Sun (the phase) changes more dramatically. On May 20th Mercury is magnitude -1.3 with 90% phase. By May 31st it has faded to magnitude -0.3 with phase 63%. You can see from the animation that Mercury climbs higher into the evening sky so that fall in intrinsic brightness is counteracted by it being visible against a slightly darker sky (and less atmospheric extinction).
The picture here was taken in the evening sky in March 2011. Mercury and Jupiter were strikingly obvious once I'd picked them up in the twilight sky. This scene will soon be repeated with Venus making an appearance too.