Differences

While all of these types of radiation are just electromagnetic waves, they can have very different effects. First, waves which have a longer wavelength tend to pass by objects whose size is smaller than the wavelength of the wave. Radio waves, which are very long wavelength, require objects the size of mountains to block them efficiently. Shorter wavelength radiation, like visible light, can be blocked much more easily. This is due to the fact that waves can diffract around obstacles with a size smaller than the wavelength.

Also, shorter wavelength, higher frequency waves have greater energy. X-rays are so energetic that they pass right through human flesh, despite having a shorter wavelength.

The following image shows how various electromagnetic waves are used differently. (need citation here)

This image is courtesy of Imagine the Universe.