A few blurbs:
If you need to use a public Wi-Fi network at a coffee shop or the library, then one of these distributions can hide your traffic from someone trying to peek in. Likewise, if you’re worried about someone tracking down your location—whether it’s a creepy stalker or something even worse—randomizing and anonyming your traffic keeps you safe. Obviously you don’t need this all the time, but if you’re checking bank statements, uploading documents onto a work server, or even just doing some shopping, it’s better to be safe than sorry.
All of these distributions can run in a virtual machine or from a Live CD/USB. That means you can carry them around in your pocket and boot into them when you need to without causing yourself too much trouble.
Tails is a live operating system built on Debian that uses Tor for all its internet traffic. Its main goal is to give you security through anonymity. With it, you can browse the web anonymously through encrypted connections.
Where Tails is about anonymity, Kali is mostly geared toward security testing. Kali is built on Debian and maintained by Offensive Security Ltd. You can run Kali off a Live CD, USB drive, or in a virtual machine.
Qubes is desktop environment based on Fedora that’s all about security through isolation. Qubes assumes that there can’t be a truly secure operating system, so instead it runs everything inside of virtual machines. This ensures that if you are victim to a malicious attack, it doesn’t spread to the operating system as a whole.