Mark, Matthew, and Luke are known as the "synoptic gospels", as they include many of the same stories and follow a similar chronology. Most scholars assume that Mark was the oldest of the synoptics and that the other two were based upon Mark and a non-Markan source sometimes called "Q" in some manner.
The version of Jesus who appears in Matthew is more clearly associated with the conservative Jewish tradition of Mosaic laws that the Jesus we see in the other Gospels. He is somewhat harsher than the Jesus of the other Gospels as well, and more impatient with the obtuseness of his disciples. Matthew was probably intended for a Jewish audience and thus emphasizes the continuity of Christianity with God's promises to the Jews.
The Jesus of Mark is somewhat more secretive than the Jesus in other Gospels and places more emphasis on immediate action, but generally Mark is shorter and less well developed than the other three. This gospel addresses the Romans and has a strong sense of urgent mission.
Luke addresses a more educated Greek audience, and is written more in the style of Greek biography, emphasizing the role of Jesus as teacher, and assimilating him more to a traditional sort of Hellenistic sage.
The Gospel of John is the latest of the group, probably written after the destruction of the Temple in Jerusalem, and the most spiritual. Rather than promising an immediate Kingdom of Christ on earth, it emphasizes a more complex mysticism and symbolism.