Particularly with 5mm leds, it's pretty easy to compare based on numbers of emitters. Once you start getting into more powerful Luxeon, Seoul, and Cree emitters it starts getting goofy with efficiencies.
One difference is that in the past few years Nichia came out with higher efficiency 5mm LED's, which boosted their brightness. But in general you're looking at apples vs apples. So to do a blow by blow
Headlights: Cateye vs Blackburn vs PlanetBike
The Cateye will likely be brighter than the Blackburn due to 5 vs 4 LED's. The PlanetBike Blaze, is a 1/2 watt single-emitter which will be pretty comparable (if not somewhat brighter) to a 5-LED cluster like the Cateye. Overall all three are pretty similar, the Blackburn is behind by an LED, although it does feature that slightly unusual blink pattern. Battery life I would expect to be similar with all three, given the similarity of emitters and power consumption - meaning the Blaze will last about half as long, since it's only using 2AA instead of 4.
Taillights:
This is where the Cateye combo starts to fall behind. The LD270 is going to be outclassed by both the Superflash and Mars in terms of sheer brightness, as well as using an uncommon battery cell type - you won't be able to wheel into a 7-11 on a rainy night to replace a dead battery in the middle of your commute. The Cateye has only 3 LED's, so yeah, it uses less power, but N-cells have about 2/3 the capacity of AAA's, so it's about a push.
Battery life is rated at around 100 hours for each, but again, that's probably measured till the lights are completely dead - you'll probably find yourself wanting to replace them sooner than that to maintain brightness. With the AA/AAA lights, you could use lithium or NiMH batteries, which run at a more constant voltage until they're dead (unlike alkalines which run steadily down). You get less warning when they go out, but you'll also get much more life between battery changes.
Theft:
Absolutely take the lights with you. None of the lights in this price range are "theft-proof" - they will all have relatively easy mounts to remove. Heck, more than once I've heard of someone stealing the mount even though the light was already taken off by the owner. Many of the lights are basically a belt clip that slides into the mount on the bike.