Can't say much about DirectCompute or CUDA, but I have been doing a lot of work on OpenCL lately. I have to say it is somewhat of a pain to get running, and the spec seems to be implemented slightly differently in some aspects by various vendors (probably due to the fact that the spec is horribly worded
at times everywhere) but other than that, it does work, and is fairly nice to use once you get the hang of it. It requires quite a bit of engineering, though, so I am pretty sure nobody is using it in games. However, all three are capable of interop'ing with D3DX and GL, to some extent.
DirectCompute: neat integration with D3D10/11, so using it is really fun and easy. However, Windows only.
CUDA: simple to use, somewhat mature, NVIDIA only, and has lots of built-in libraries (for instance, I believe JC2 used the FFT library for generating water heightmaps in realtime, and other games like to run PhysX on it), cross-platform
OpenCL: the API is somewhat tedious, and is not very used nor very mature, but runs on many devices (with the caveat above), cross-platform
As you can see, they all have different advantages, weaknesses, and goals, but I believe that realistically only DirectCompute and CUDA are seeing any use in games due to maturity and easy integration. That said, you should keep in mind that OpenCL in particular was never meant for graphical work, but for general-purpose computation on various devices such as GPU's, FPGA's, etc... so while it's not being used in games, it is being used elsewhere (3D renderers like LuxMark, scientific applications, etc..)