North to South:
Despite the three nations' similarities in culture and history, their languages belong to two distinct language families. The Latvian and Lithuanian languages make up the group of Baltic languages which belongs to the Indo-European language family. The Estonian language, on the other hand, is a non-Indo-European language and instead belongs to the Baltic-Finnic subgroup of the Finno-Ugric languages, sharing close cultural and historical ties with the Finnish language and culture.
The peoples of the Baltic countries also belong to different Christian denominations. Believers in Latvia and Estonia are mostly Lutheran (except for Eastern part of Latvia, which is Catholic). Lithuania is principally Catholic.
Note on Russian: as the status of the Russian language has been a contentious issue since the collapse of the USSR, and due to simmering anti-Russian sentiment, it is advised that if you speak Russian, you attempt to first communicate in the native language, at least to issue greetings and ask if the person speaks Russian. The greatest hostility towards Russian tends to be found in Estonia, while Lithuania seems to have the least anti-Russian language sentiment. In the cities, especially Riga, many people may be native speakers of Russian, but in rural areas Russian will be spoken much less.