Whats the catch when using these wallets by the way?
That's a bit like being presented with a list of a half dozen types of vehicles and asking:
"What's the catch when using these vehicles by the way?"
Each wallet has its own features and "quirks". It's up to you as the consumer to determine what your needs are, to learn what each wallet has to offer, and to choose the wallet the best meets your needs.
Armory and Electrum offline both provide a method to secure your private keys on a computer that is never connected to the internet to significantly increase security (but at a cost of some inconvenience, and owning a second computer that is never connected to the internet).
Electrum relies on a server, MultiBit depends on SPV (Simplified Payment Verification).
Armory and Bitcoin Core both require you to have enough available disk space to store the entire blockchain, and need to be kept up to date with synchronization.
Most of those wallets run on computers, so they aren't as useful when you are out and about. Mycellium and Bitcoin Wallet run on Android mobile devices, so they are more convenient for carrying around.
Most of those wallets can only be accessed from the one device where they are installed. They don't synchronize to other devices. You would need to create transactions to transfer balances between separate wallets on separate devices.
blockchain.info is a hybrid wallet. You can access it from nearly any web browser (mobile device, laptop, desktop, etc). They store your private keys in encrypted form so they can't access (spend/steal) your bitcoins, and they provide a backup file of your wallet so that you can still access the bitcoins even if they disappear. This makes them much safer than other web based options (such as MtGox, BitStamp, localbitcoins, or Coinbase).
