What is the difference between an Electron, a Tau, and a Muon?

They only differ in their masses. How they interact with other particles, their charge, their lepton number, everything else is the same.

In fact they appear in the SM lagrangian just as three identical replica of the basic fermionic family

$$\mathcal{L} = \sum_{i=1}^3\bar{\psi}^i(i\not D-m_i)\psi^i$$ where $i$ is the flavour number. One could ask why only $3$ and not $2$ or $4$ or $10$ or whatever. To this question we don't have a definite answer yet. But the fact that they are $3$ makes perfect sense from the theoretical standpoint since, for example, the existence of three families of leptons and quarks cancels all the anomalies in the SM gauge group.

Edit:

As suggested in the comments, we think it's also worth adding that, in reality, in the SM the difference between the various families is in the Yukawa coupling (which is fixed by experiments) that, after symmetry breaking governs both masses and interaction strength, including their decay time which is dependent on the mass again.

Moreover, as @kaylimekay suggests, and I quote

"This answer is only true in the SM, which we already know is not the full story. We are all hoping to see deviations from this structure, and maybe already have, if you believe the LFV B-decay data."

Hope this clears any misunderstanding.

Davide gives the theoretical side. Experimentally, in detecting them, there is a large difference.

Electrons have been detected long ago: cathode ray tubes and then the Millikan oil drop experiment established the existence of electrons.

Muons were seen in cosmic rays and it took accelerator experiments to detect them in the lab

Taus, because of their mass were discovered when specific high energy beams could reach those energies that could create taus.

The neutrinos were necessary to have energy and momentum conservation in the decay of the neutron, and this led to lepton number conservation, the antineutrino_electron.The decay of muons and the theoretical proposal of lepton number conservation allowed the study of interactions producing muons.

The electron as the lowest mass is stable, taking part in the creation of atoms. The muon and tau are unstable decaying with the weak interaction. The muon decays to electron and neutrinos, because its mass is too low to have an emergent pi0. The tau has high enough mass to decay into hadrons, again through the weak interaction.

So experimentally they are very much different.