Cyn, there is a definite difference in taste. I've only used Madagascar...
but here's some good info describing each type of vanilla from David Lebovitz (www.davidlebovitz.com):
"What's the difference between the three 'origins' of vanilla available?"
"Bourbon: This doesn't mean the vanilla contains whisky, it refers to the I'le de Bourbon, now known as Réunion. Most Bourbon vanilla is now grown on the island of Madagascar, the largest vanilla-producing region on the world. Bourbon vanilla is the strongest and most full-flavored of all the vanillas and give you the most 'bang-for-your-buck'. I use Bourbon vanilla for baking, since it's assertive flavor doesn't lose potency when cooked.
Tahiti: Tahitian vanilla gained popularity a decade ago; it's shockingly-high cost perhaps fanned it's fame. Tahitian vanilla has a more delicate flavor; very floral and tropical. I use it in fruit salads or scenting tropical fruit desserts since baking with it seems a waste of it's subtle flavor. Tahitian vanilla used to be far more expensive than Bourbon, but recent socio-political and economic events equalized the prices somewhat. Tahitian vanilla beans are plumper than others, although that doesn't necessarily mean they have more flavor or are a better value. They're just naturally moister.
Mexico: If you think that quart bottle you bought in Mexico for $1 was a great bargain, think again (then dump it down the drain.) Real Mexican vanilla is perhaps the best in the world, and the price of pure Mexican vanilla is similar to other pure vanilla extracts. Labeling laws in Mexico differ than those in other countries, so that jumbo bottle of 'Real Mexican Vanilla' you bought at the tourist shop is likely a synthetic and contains coumarin, a substance banned in the United States by the FDA since it's considered toxic (some chocolatiers in France and Belgium are flavoring chocolates with woodsy Tonka beans, the source of coumarin). I love pure Mexican extract, it's sweet-spicy scent reminds me of just-churned vanilla ice cream and is versatile for every baking and cooking application.
Other vanilla growing regions include Bali, Sumatra, Java, China, and Indonesia. Often in some of these countries, vanilla beans are dried over fires to speed up the process, giving the vanilla beans a smoky aroma. I sniff the vanilla before buying (if I can) when it's been produced in any of these countries but in general, I avoid vanilla from these regions. The prices are generally lower but the quality is often inferior.."