"The Last Leaf" and "The Gift of the Magi" both are set in New York City while "The Ransom of Red Chief" takes place in the American South. "The Last Leaf" and "The Gift of the Magi" both deal with sacrifices, whereas "The Ransom of Red Chief" deals with greed, albeit in a comical way.
"Red Chief" is different from the other two in tone as well. All three stories are similar in the sense that they carry O Henry's trademark surprise ending.
Differences in the three would be in the types of love illustrated. In "Red Chief", the kidnappers are trying to play off the love between parent and child but, of course, they are surprised. "Magi" has a lot of sentiment in the true meaning of love. "The Last Leaf" shows the devotion of an acquaintance to a young girl who ultimately sacrifices his life in what might seem a foolish gesture to most.