There is a difference in dust, it's mined from different locations so it can contain different types of pumice (which is why some is white some is grey) as well as different they have different textures. Kaytee dust is one of the worst, there have been several people lately (like in the past year) that have had chins with eye, skin, and/or lung issues after using from using kaytee dust. Aside from that issue the kaytee tends to be courser which doesn't clean the fur as well and can leave them feeling gritty. You don't want any that are dust powders (too fine) or dust sand (too course) either.
Currently Chill Dust as mentioned is considered the best, I've never tried it though since you can only buy it online in the US (I'm in Canada). I use Oxbow Poof and haven't had any issues, the PetSmart's Full Cheeks, Petco's dust (I can't remember the new name of it), and Lixit Blue Beauty, are all mined from the same Blue Beauty mine as Poof, so the dust is pretty much all the same for those ones. Pet Post is an example of the white pumice dust bath that I've heard people say is also good, again I've never tried it myself though.