In Release Order
Mission Focused, Low-Power, and a mix of dungeon-ish and social interrogation.
Players being, by default, acolytes of some inquisitor. Which means investigations of Chaos infestations.
This is, in all actuality, the most flexible of the games, having the widest variety of character types. It can be used for a wide variety of low-power citizen-focused games.
Lethality level is moderate to high, depending upon gear, cash, and threats faced.
High Power, advancement focused.
Players can pick what their goals to some degree. Large portions of actual play are about gaining in prestige and wealth.
While there is limited potential for exploration type stories, the default mode in the modules are about military adventurism in a conquistador type mode, and making money by trade.
Lethality level is fairly low - PC's tend to have decent gear, and the threats are not overwhelmingly hard, usually.
Mission Based, high power.
"Go strange and interesting places. Meet strange and interesting people and xenos. Then, kill them all for the God Emperor."
This game is fairly useful in that it provides the swarm rules, and makes it possible to play out larger scale military actions in a reasonable time.
The lack of real choice in character types, and the even higher than Rogue Trader power levels, combine to make this game particularly prone to devolving to a bug-hunt of the week mode.
Threats tend to be quite high powered, quite numerous, or both, this could spell lethality... were it not for insanely high armor and toughness.
Power Level moderate to high.
This is the one I know the least about - the power level is about on par with Rogue Trader, and it appears to be advancement focused.
Note that all the example characters are chaos worshipers of various sorts.
Power Level moderate. Mission oriented. As of this writing, I've only seen the beta and the quick-play demo module.
The sample adventure is a flight before a "cleansing"... but there is plenty of potential for other mission types.
Characters are a somewhat narrow bunch of archetypes, but there is more variability than in Deathwatch.
Threats are fairly reasonable for the toughness and armor.
It's easy enough to combine Rogue Trader and Dark Heresy - Dark Heresy Rank 7+ characters fit in just fine.
Deathwatch characters, if the Deathwatch package is left off, can be used as line marines assigned to Rogue Trader ships or to an inquisitor's team, but will be the combat gurus.
Only War Characters, while tougher than Dark Heresy, can be used with them with little effort. While weaker than Rogue Trader characters, given a few levels, they'll fit right in as the hired (or assigned) muscle.
Black Crusade characters won't be accepted in most Imperial settings... but any of the other types could, if they have fallen, fit in with a Black Crusade game.
The trick is scaling the threats in whichever game or combination one runs.
Note that only Dark Heresy focuses on cash - Deathwatch, Rogue Trader and Only War abstract out access to new gear, so making things available is a real possibility for balancing things out.