They are all translated as "escort/take someone somewhere". Are there any differences? Can I use them interchangeably?
送る: To escort someone somewhere (and part from him/her after arriving there). Escorting itself is the main goal, and you usually have nothing do to at the destination place.
友人を駅まで送った (because it was late, and I said goodbye to him and returned home)
連れて行く: To take someone somewhere (in order to do something there with him/her).
友人を駅に連れて行った (to show him around the station)
乗せて行く: to drive someone somewhere (i.e., by car). 乗せる literally means to mount/load.