Hey,
I did my bachelor at RSM and know quite a few people doing CEMS, here's a few general thoughts
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Rotterdam is a really good school, and you'll be expected to work alot. People have come there on exchange expecting an easy semester and ended up in a bit of trouble, so don't think it'll be an easy ride. However, there are some excellent networking opportunities, and the school is becoming more well-known every year. The studies are well organised and student life is pretty good. You're also in a city with good connections to the rest of Europe. Accommodation is pretty cheap, as is food and not to mention tuition.
Most people I know who went to HEC Paris strongly disliked it. The campus is terrible, course organisation is a mess and you're 1-2 hours by public transport to Paris, as the campus is located outside of a village. The name on your CV is good, but the overall experience leaves alot to be desired.
St Gallen is pretty good too, but its also located in a small-ish city, 2 hours from Zurich. Most people I know had a pretty good experience there, and I think you can have some pretty interesting classes... Also, the students there dress up quite a bit apparently :P Life in Switzerland is a bit more expensive (in terms of food and transport), though I don't know how much accommodation is in St Gallen.
I don't know much about LBS, but a friend of mine went RSM -> LBS and is at ATKearney now. RSM is definitely a good choice for management consulting, but so are St Gallen and LBS I think. HEC I really wouldn't recommend, it is just not worth it.
If you have any more questions regarding RSM I'll be happy to answer them