From reviews I remember, all 3 in the series differ from each other to a certain degree... I think base managing is a bit more interesting in Aftershock and there's some sort of a faction system. And Afterlight takes place on Mars. But I only played the first one (Aftermath) so I can't really say much more.
Personally, I like Aftermath. I know some don't. I think it captures the post-apocalyptic battle for survival really well, especially at the beginning, when ever recruit, every grenade counts. Unlike X-Com, you lack any real production facilities so ammo for majority of guns just comes by itself from time to time. Same with recruits. Of course, you might think this kinda sucks as you loose the need to juggle between buying stuff, selling stuff, making & selling stuff like in X-Com... But I find it more fun managing raw resources vs. managing funds, especially because high-caliber ammo can get a bit scarce and you WILL need it once the Greys show up...
Dunno, on one hand, it does lack things like interactive aerial combat that even the old X-Coms had (you just send fighter jets here, the more the better) and all the funds and politics managing... But I will say it stands on it's own regardless and it's good game. You can get in cheap? Get it.
edit:
Didn't see you mentioned UFO: Extraterrestrials Gold too. This game I know almost nothing about so the above doesn't apply to it.