They all are the same in terms of aviable programs and capabilities.
What differenciates them is their packaging and default setups.
For instance Redhat/Mandrake/Suse/Fedora all share a common Redhat heritage. They use similar init scripts (scripts that start and stop services and runlevels that happen as your machine boots up) and use the same packaging format for their programs (rpm files).
But there are some differences. Redhat is no longer providing no-cost installation media and they use Fedora project to provide a no-cost install for the general geek public. Fedora incorporates a lot of new technology and is a testing ground for concepts that Redhat will later integrate into it's commercial OS.
Also Fedora only uses 100% Free software (by their standards). This means that it's open source and freely distributable by end users. This means that you'll have to go to third party sources such as "dag's rpms" to get the ability to play encrypted DVD's and mp3s, which have legal issues associated with distributing code.
Also Fedora uses a Gnome desktop enviroment by default.
Suse incorporates a little bit of gray software, and Mandrake is very loosey goosey about what it'll provide (they are French and don't give a F-). Plus (I beleive) they both use KDE enviroments by default.
Of course you can choose only to use Free software (if your carefull) with Mandrake and Suse, and you can use KDE just fine in Fedora.
It's just one is setup one way by default and the other is setup in another way.
I like Fedora personally because their stance on free software and incorporating new technology like SELinux into their Core 3 setup. Plus thru third party people like freshrpms and dag and thru Apt-get/Yum you have a easy access to large number of packages.
What I like the most is Debian. Debian is a generic distro, it can be anything to anyone as long as you learn to live with the monster of apt-get. It's general purpose, it has the largest number of packages aviable and also have the highest quality as far as I can tell. You can run Gnome, you can run KDE, you can run something completely different... there is no preference. But this makes it a bit hard for new people to use because they simply don't know what to use or setup or whatever.
downsides they are slow to get updated, you'll always get the cool stuff first in the rpm-using distros or a cutting edge distro like Gentoo.
That's were Ubuntu comes in. Ubuntu's developers have decided what sort of setup would be easiest to use out of Debian and would be the most usefull, then they emphised it and updated it. That way a new user will have a usable system immediately backed by the power of Debian's packages without all the fuss. It's a good way to go about doing stuff for a lot of people.
There are a lot of choices, a lot of possiblities. And there is still Gentoo and Slackware, which both have very positive attributes.
Most people will try several different distros before settling on one that suites them the both.
For the purposes of each distro they usually try to explain themselves in FAQ or documentation somewere and you can find one that has a outlook that matches closest to what you want out of a OS.
See here for more details.
http://distrowatch.com/
There are a lot of distros. The ones I told you seem to be the most popular ones for English-speakers. There are others like Connectiva (South America) or RedFlag (Chinese) that are popular in other regions.