There's a serious dearth of information about the differences between the Henckels product lines, but from what I can tell:

• The biggest difference is the handle design, which impacts the balance. You'll want to hold the knives to find which is right for you.
• Stamped blades are used in the following lines: Twin Signature, Twin Gourmet, International Everedge, International Everedge Plus, International Fine Edge Pro, International Fine Edge Synergy, International Eversharp. Source: Henckels Site.
• Forged blades are used for the following lines: Twin Profection, Twin Four Star and Four Star II, Twin Cuisine, Twin Professional S, Twin Select, International Classic, International Forged Premio, and International Forged Synergy. Sources: Henckels site, Squidoo, Amazon
• Microserrated blades are used in the following product lines: Eversharp Pro, Everedge, Everedge Plus (Source: Henckels International website)
• All but the Twin Cermax line are X50CrMoV15 steel, hardened to 54-56 HRC (some reports say up to 57 Rockwell C). This means they're slightly softer than Wusthof (which now hardens many of their products to 58 HRC), but less brittle.
• Twin Cermax uses special, superhard (66 HRC) MC66 steel, meaning they take a sharper edge and hold it MUCH longer than the other lines. This is probably a clone of the ZDP-189 supersteel. (source)

The microserrated blades aid in slicing, but hurt the ability to chop and mince. They WILL help retain a cutting edge longer, but also cannot be sharpened normally.

Edit: Personally, I've not been impressed by Henckels knives. Wusthof knives strike me as better quality at a similar price, and Victorinox is almost as good but a lot cheaper. Why do I say this? Well, Wusthof blades aren't as thick and unwieldy as Henckels, and they harden the steel to 58 Rockwell, so it takes a better edge. Victorinox is comparable hardness to Henckels, but about half the price, and the shapes of the blades just seem so perfect, with a deeper belly to slice thick items, and awesome grippy Fibrox handles.

Edit 2: 5 March 2016 - Henckels appears to have moved to a 57-58 HRC steel standard now for many of their blades, and switched to a narrower 15 degree bevel. This means they are capable of finer cuts, but the edges may be a tad more fragile. Twin Profection is now 60 HRC. This means that steel-on-steel, the knives should now be competitive with Wusthof. The Twin Signature and International Forged Classic still use the inferior 53-55 HRC steels. Victorinox has also raised the prices on their Fibrox-handled knives. Personal opinion, they're still a much better value than Henckels, but Henckels may be more competitive with Wusthof now.