The most obvious similarity between these three short stories is that they could all be classified as horror, so you could compare them in that regard. The purpose of a horror story is to instill dread in the reader. Each story does so in a unique way, as the previous answer observed. Another way to compare the stories would be to compare the main characters and how the characterization of each affects the emotional quality of the story being told.
In "The Monkey's Paw," the elderly couple are sympathetic everymen, if a little foolish, making the horror which befalls them sad as well as scary. Moreso than the characters in the other two stories, they seem like people you might know, which might be why "The Monkey's Paw" is so chilling.
In "The Tell-Tale Heart," the narrator himself is rather frightening, as he is mad and violent. The reader knows he cannot be trusted.
In "The Masque of the Red Death," the amoral, hedonistic Prince Prospero is the main character. His belief that he is invulnerable to death and disease give his horrifying fate a moralistic dimension.