Closest shave? Well, first BBS then when does the stubble return. That's how I decide what's close. But you're right Obie it's more about the comfort.
I get the closest with the Muhle open comb but the agony.
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Most of the time it's not your face disagreeing with a blade, it's the blade disagreeing with a certain razor. Of course as Obie pointed out there are other factors like prep and technique, which are equally as important as finding a good razor & blade combo.
I currently have around 10 different brands of blades in my collection (yeah, peanuts compared to DE fanatics), and there are only two blades that disagree with all my razors and, more importantly, my face: Merkur and Shark. They don't "shred" up my face per say, but they aren't very comfortable - however, I can get maybe 2 close shaves from them before they give up the ghost. YMMV.