This paper investigates the capacity region of three-receiver AWGN broadcast channels where the receivers (i) have private-message requests and (ii) know the messages requested by some other receivers as side information. We classify these channels based on their side information into eight groups, and construct different transmission schemes for the groups. For six groups, we characterize the capacity region, and show that it improves both the best known inner and outer bounds. For the remaining two groups, we improve the best known inner bound by using side information during channel decoding at the receivers.