They can all have the same drivetrain but the Caprice was also available with the 4.3l.
Fleetwood is longer than the other two.
All of them have sheetmetal unique to each model.
While the cars are similar, they have so many differences that making a list would be very time consuming. I'd say you decide which you want based on how many luxuries you want, starting at the low end with Caprice, moving on to Roadmaster and finishing with Fleetwood.
Roadmaster Collector's Edition was a tag that went on all 1996 Roadmasters (at least it was on the wagons).