Sephiroth's got the Masamune, cool clothes and two amazing versions one totally awesome theme song.
Kadaj seems to lead the trio, and has a little more personality than Yazoo (who's pretty much useless) and Loz (the wimpiest of them all).
Sephiroth wanted to follow in Jenova's footsteps and spends most of the game controlling his clones whilst frozen in the Northern Glacier.
Kadaj, Yazoo and Loz sopend most of the movie looking for "Mother" and spend some time controlling a huge army of children (the latter adding a point in their favor)
Kadaj actually get's Jenova's head and turns into a Sephiroth clone, after which he engages in one hell of a fight with Cloud.
Yazoo is a long-haired waste of space, doing nothing of importance and contributing nothing to the story.
Loz has a cool move that renders him invincible as he runs towards his opponent with a sort of taser, both of which are used in a spectacular fight against Tifa. But he's got an odd haircut (but at least it'sdifferenct from the rest) and is a little on the emotional side.