I also have a pension + 457 retirement setup.
There is no reason to have multiple 457 accounts. If allowed you should consolidate them. Their performance has more to do with which funds you are invested in than the company hosting the plan. To decide which 457 plan you should use we need to know what the fund choices are along with the relevant expense for each fund.
You should note that 457 plans are notorious for having relatively high expense ratios (ER). With that being known and also knowing that there is no "company match" in a 457 plan, I would suggest your first retirement savings outside of your pension be in an IRA.
Most people benefit more from a Roth IRA, but your personal situation would dictate if you chose Roth or Traditional. You can choose where to host your IRA, I would suggest either Vangaurd or Fidelity. They both have some exceptionally cheap investment choices. After you hit your limit on IRA contributions ($5,500 for 2017) Put any additional money you want to put away in to your 457 plan. Also note that you have until your Federal Tax filing date this year to make contributions to an IRA for 2016 (also $5,500 limit, this is subject to change each year), so if you have the cash you can still make this contribution.
I would also suggest joining up and reading on the Boglehead forum https://www.bogleheads.org/forum/index.php and their wiki page. It's the ARFCOM of investing. There is plenty of very smart people there willing to share their wealth of knowledge.