Ross, the select() result for a large number of ready FDs was completely skewed because of a bug spotted by Antoine (complexity was much worse than it ought to be).
Here are the results with the fix:
"""
$ ./python ~/selector_bench.py -r 10 -m 1000 -t socket
Trying with 10 ready FDs out of 1000, type socket
<class 'select.EpollSelector'>
0.05156186099338811
<class 'select.PollSelector'>
0.23772043800272513
<class 'select.SelectSelector'>
0.5181516080047004
$ ./python ~/selector_bench.py -r 100 -m 1000 -t socket
Trying with 100 ready FDs out of 1000, type socket
<class 'select.EpollSelector'>
0.47576940699946135
<class 'select.PollSelector'>
0.6458770600002026
<class 'select.SelectSelector'>
0.828609222000523
$ ./python ~/selector_bench.py -r 1000 -m 1000 -t socket
Trying with 1000 ready FDs out of 1000, type socket
<class 'select.EpollSelector'>
4.970445963997918
<class 'select.PollSelector'>
5.7709292660001665
<class 'select.SelectSelector'>
4.030775418999838
"""

With a large number of FDs, many of which are ready, select can be faster.
Here's the output of "strace -c -e select,poll,epoll_wait":
"""

% time     seconds  usecs/call     calls    errors syscall
------ ----------- ----------- --------- --------- ----------------
 83.86    0.000421           0      1024           epoll_wait
 16.14    0.000081           0      1024           poll
  0.00    0.000000           0      1024           select
------ ----------- ----------- --------- --------- ----------------
100.00    0.000502                  3072           total
"""

The systime is greater in epoll, but the systime is negligible, as show by 'time':
"""

real    0m14.856s
user    0m14.289s
sys     0m0.340s
"""

The time is really spent in the interpreter.
I'll dig some more (even though I doubt having 1000/1000 ready FDs is a common use case).

Note that it doesn't change anything when a small number of FDs are ready:
"""

$ ./python ~/selector_bench.py -r 10 -m 1000 -t socket
Trying with 10 ready FDs out of 1000, type socket
<class 'select.EpollSelector'>
0.05238822099636309
<class 'select.PollSelector'>
0.25595822899776977
<class 'select.SelectSelector'>
0.5156362060006359
"""