They're all different. The wonton wrapper will give you a harder texture. It's easy to work with and like Chefross says, it can be either fried or baked easily.
Phyllo is tricky to work with. They are very very very thin sheets of dough. It is usually found in the frozen foods and must be thawed slowly. I usually place my container of phyllo in the refrigerator over night. Then I unpackage the phyllo and place it on the counter ontop of waxpaper with a very thin but slightly damp, almost dry towel on top of it. As I remove one sheet at a time I place the towel back over it. Wax paper works as well. Some people work pretty quickly and find no need to keep the phyllo covered. The phyllo has to be layered and in between the layers you must add fat, usually melted butter or ghee. You can also add other things between the layers to make things interesting like very finely chopped nuts, sugar, cinammon, or other spices. It is then baked. It has an incredible textures, very light and flaky and can create quite a mess as you end up with little shards of phyllo everywhere. Common dishes that include phyllo are baklava and spanakopita. I love this stuff.
Puff pastry is much easier to work with. You can rolll it out thin or not, you can shape it into anything really. When it cooks it puffs up brilliantly. Common dishes you'll see are apple turnovers. It is also found in the freezer section but if not you may have to ask a local bakery if they sell any of their puff pastry dough. If you're up to making it yourself, good luck. It's a pretty long and intricate process.
