A blade tugs at the hairs before cutting them off. That pulls them out of the skin a tiny bit. The first blade pulls them out, the second grips them before they retract, and cuts them off lower. It makes a noticeable difference. The third blade makes a very tiny difference. After that, it's marketing. (Should I look up studies to cite?)
In my experience, electric gives the cleanest shave. In the long run it's cheaper, too.