In terms of combat:
Gwen is the "all around" character. She is pretty average in just about everything.
Syn is the "tank" character. She is slow but a physical tank and physically very powerful who later on learns some interesting support moves.
Cleo is the "glass cannon" character. She is the fastest and deals a ton of damage, but is far more fragile and defensively weaker than the rest.
Cherri (who you will get in Update 4) is the "mage" character. She has a HUGE mana poll and is the strongest magically, but her physical damage is the weakest out of all of them.
I am planning to re-balance things once the game is complete and I am always keeping feedback like this in mind. I occasionally make small tweaks in between updates based on feedback I receive as well.