Different Y-Chromosome markers are measured for different purposes.

SNP's (single-nucleotide polymorphisms)

SNP's change very slowly from one generation to the next.  They are useful for studying migrations of populations over tens of thousands of years.

STR's (short tandem repeats)

STR's change more quickly from one generation to the next.  They are useful for studying differences between families, where the most recent common ancestor of a family lived (typically) hundreds of years ago.

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Graphic Comparison

In 2010 and 2011 three different laboratories offered comparable tests of Y-chromosome STR's, with 33 to 46 markers.

Comparison of FTDNA (37), Ancestry (33) and Ancestry (46) tests.
Genetree (46) is the same as Ancestry (46).

Comparison of FTDNA (37), Ancestry (46) and DNAH (43) tests.
Genetree (46) is the same as Ancestry (46).

Comparison of FTDNA (37), Ancestry (33) and DNAH (43) tests.

Detailed Comparison

1. Family Tree DNA (FTDNA) 37-marker test

Four of the five FTDNA(37) markers (570, 576, CDYa and CDYb) change quickly and can be used to distinguish recent ancestral lines.
See John F. Chandler, "Estimating Per-Locus Mutation Rates", Journal of Genetic Genealogy 2:27-33, 2006, Chandler.pdf.

2. Ancestry.com 33-marker test and 46-marker test

The three  Ancestry markers 19b, 464e and 464f occur only rarely. For all practical purposes Ancestry(46) and Genetree(46) are equivalent to the former DNAH(43).

3. DNA Heritage (DNAH) 43-marker test

On 4/19/11, DNAH ceased operations and sold its assets to FTDNA.

4. Genetree 46-marker test

Genetree uses the databases and testing facilities of the Sorenson Molecular Genealogy Foundation (SMGF). The markers measured are the same as in the Ancestry 46-marker test.