They all mean the same thing but only the first one sounds right. "In case" means there is a chance it will rain but that is not certain. "Should" standing alone means a rain is expected. "Might" standing alone means a chance again, maybe 50% more or less. So when you put "in case" and "should" in the same sentence you have contradicted yourself with two different possibilities. When you put "in case" and "might" in the same sentence you are saying the same thing with two different modifiers.
Take your umbrella in case it rains. (a chance of rain, advising you to take an umbrella)
Take your umbrella, it should rain. (rain is expected, advising you to take an umbrella)
Take your umbrella, it might rain. (a chance of rain, advising you to take an umbrella)