All are orange flavored. That's one thing.
Triple sec is an orange flavored alcohol that may be of low proof and is usually used as a flavoring in drinks. Inexpensive for a reason, it is not usually drunk by itself.
Grand Marnier and Cointreau are Liqueurs. Refined spirits of high proof that can be savored and drunk 'neat', as you would a good cognac.
For drinking neat, the Grand Marnier Cordon Rouge wins hands down: it's silkier, and has more body, and the cognac base gives it a more complex flavor.
These same factors, however, make Cointreau the better mixer. Cointreau has a bitter orange bite that is missing from its wealthier, more attractive cousin. It's harsher, but that makes it stand up better to being in a mixed drink. I've been at various bars that offer a top-shelf margarita by using Grand Marnier, but this seems to me to be a bad deal for both the mixed drink and the liqueur.
Cointreau bills itself as "the original triple sec," but most of the products you can buy that call themselves "triple sec" are undrinkable and unmixable (yes, Jacquins, I'm looking at you — how does that company stay in business?).
Orange Curacao (or Curacao) is a sweet liqueur, distilled and flavored from the dried peel of bitter oranges. It can also contain distillates of lemons and curacao fruit, sugar and wine. The Caribbean island of Curaç¡¯ is host to much of the fruit used in these liqueurs.
It can range from sublime to absolute rubbish with prices to match.
Did I help? Or just confuse?
Try them for yourself! You'll get the hang of Orange booze!