I am wondering what is the different between the 4 exploration frigates? Is there any clear advantage for one over the other?
Which do most people use?
There's no best, but similar to other ship classes they provide different bonuses and advantages/disadvantages.
I'm not really sure whether you're referring to the T1 frigates with an exploration bonus or the T2 CovOps frigates, which offer stronger bonuses.
Either way, the short answer is quite simple: Pick the exploration frigate that fits your starting faction, especially if you're new, because this will save you some skill time for now.
The long answer (as well as long-time answer): It depends on personal preferrance.
Which one to pick? Up to you. While exploration frigates are often untanked (they're more about avoiding fights or getting away before being shot), some tank fitting your skills won't necessarily hurt. Despite that, you'll usually need at least two medium powered slots for your exploration modules. Keeping that in mind three out of four frigates can be a good choice, with the Magnate having a slight disadvantage.
Their T2 counterparts, Anathema, Buzzard, Helios, and Cheetah further build on these strengths and weaknesses (although with some shifted focus, e.g. the Cheetah being an armor tanked ship and only the Helios is able to field a single light drone).
EVE Online: Rubicon also introduced the Astero as a new exploration frigate provided by the *Sisters of Eve** faction. Although having similar exploration bonuses, this ship isn't really recommended for new players. It requires multiple skill lines to master (e.g. Amarr Frigate as well as Gallente Frigate, Small Energy Turrets as well as drone skills) and it's not really cheap to obtain.
If you'd like to read more about exploration as introduced with EVE Online: Odyssey as well as starter tips and more details about the different ships being available, you can have a look at this article on the EVE University's wiki.
I'm going to assume you're talking about the four T1 exploration frigates: Magnate (Amarr), Probe (Minmatar), Heron (Caldari) and Imicus (Gallente). The T2 covops frigates are really a somewhat more complicated question.
Let's assume the following:
Your basic exploration fit for lowsec/nullsec is below. Basic equipment is on the left (lowsec), and your upgrades are on the right (nullsec).
[Probe/Imicus/Heron, Basic Explorer]
[High Slots]
Core Probe Launcher I w/Core Probes -> Core Probe Launcher II w/Sisters Core Probes
Prototype Cloaking Device I -> Improved Cloaking Device II
[Medium Slots]
Upgraded 1MN Microwarpdrive I
Cargo Scanner I
Data Analyzer I -> Data Analyzer II
Relic Analyzer I -> Relic Analyzer II
[Drone Bay]
Warrior I -> Hornet EC-300
Note that with the Improved Cloak and MWD you can execute the "MWD+Cloak" maneuver to escape gate-camps. The drones are disposable... either a distraction or jamming until you can warp away. For rigs, choose among the following:
Your Low Slots are generally filled with one of the following three:
Now, to your actual question... "are there any advantages of one over the other". The simplest answer is "fly whatever you have the highest frigate skill in", since the hull bonus to scanning and hacking will tend to dominate this discussion. But there are some particulars to be aware of.
They are virtually identical, with the standard balance between them all. None is better than the others, none of them has a massive weakness against the others.
Here are the relevant base stats for each ship (all ships give the same Skill bonuses with the appropriate racial skill).
Power CPU Cap High (Launch) (Turret) Med Low Vel In. Drone Cap Band/w Str Shield Armor
Magnate 26 230 325 3 2 2 3 4 350 3.8 40 15 250 250 350
Heron 24 260 245 3 2 2 5 2 340 3.5 35 15 200 400 200
Imicus 21 250 270 3 0 1 4 3 330 4.1 40 20 275 275 325
Probe 25 240 235 3 2 2 4 3 360 3.5 35 15 225 300 300
Exploration ships aren't meant for getting into fights, so which you prefer is really more about your play style that which is best. If you like missiles, go Caldari. If you like Drones, go Gallente. Et cetera.
That said, if you took a survey based on sales, you'd probably find that the Heron and Imicus come out on top.
Personally, for myself and many people I've talked to, the Helios is great as an all around exploration and scout ship.
I own a few and have never lost one, even slipping around in nullsec (Being able to warp while cloaked is awesome). I often act as a scout for my fleet and jump ahead a few gates on the route to make sure it's clear of campers. I've also spent lots of time in it probing around in wormhole space.
I realize that it's a T2 frig, but it's worth working your way up to it! But, like anyone else will tell you, there is no "best". They're all just better at different things. It's a matter of preference really.