There is no one true answer to this question, since it depends on the environments you want to install on one system. I currently have
awesome installed and they get along fairly well, which makes sense since the first three are pretty much the same (configuration and application-wise) and awesome does not share any settings with the former or bring in any other applications.
You just have to know that there might be some caveats to running multiple DE's. For example installing gnome-shell will overwrite unity keyboard shortcuts.
You won't run into major (think unusable system) Problems, but installing xfce will pull more than just the DE, like the suite of standard xubuntu applications. This means that your System will be filled with unnessecary redundancy.
That being said, xfce can be installed here:
Click to install