Okay, a small psychopharmacological tutorial.
All of these drugs are in the class called benzodiazepines. They all have, to some extent or another, sedative (calms, slows down), hypnotic, muscle relaxant, and anxiolytic (lessens anxiety) effects. Klonopin is the only one of the class that is considered an anticonvulsant (anti-seizure).
They are all slightly different. The biggest difference is half-life-- how long the drug stays in your body. Where Xanax (alprazolam) and Ativan (lorazepam) have a short half life, Klonopin (clonazepam) and Valium (diazepam) have longer half lives.
Xanax is good for panic attacks because it kicks in fast. Klonopin is good for general anxiety because it lasts a long time.
Valium and Ativan are different drugs in a few ways. The first is that Valium has a longer half life, meaning it stays in your body longer. If you need all-day coverage, a drug with a longer half-life is better. For things like sleep (which benzos only work for temporarily), panic attacks, flying anxiety, etc., drugs with a shorter half life are generally better.
Valium also has more muscle relaxant effects (I think). Ativan is a much newer drug. I'm not 100% sure why, but doctors like prescribing the newer benzos-- Xanax, Ativan, and Klonopin much more than the older ones. I assume because they are somehow "cleaner" drugs. Not sure.
This website lists equivalent dosages between benzos.
Note that 1mg Ativan is equivalent to 5mg Valium. Valium also has a longer half life. Though technically 2mg Ativan = 10mg Valium, that 10mg is spread over a longer period of time, making the effect of the drug "smoother." With Ativan, it enters and leaves your body much faster.
To be honest, this is something you need to discuss with your doctor. Also, don't drive, and don't drink with these drugs. Also, they have a high potential for tolerance and abuse, so always take them as prescribed.