Chess engines all work in a similar way, but Graphical User Interfaces(GUIs) report this info in different ways. Chessbase produces GUIs based on Fritz which show a little engine window with a number, plus if white is winning or minus if black is winning. Chessbase GUIs also have a little light that flashes red when one side's move was a blunder. This Chessbase line of GUI/engine combos includes Komodo 9, Houdini 4, Rybka 4 and Deep Fritz 14. The GUI part in each case is the same. You can buy just the engine, or download a free engine like Stockfish, and plug it into a GUI that you have.
A lot of GUIs do full game analysis, both commercial - Aquarium, Chessmaster, Chess Assistant, Shredder(in its own or a Chessbase GUI) and Hiarcs Chess Explorer - as well as free alternatives, Arena, SCID and SCID vs. PC. Automatic game analysis does highlight certain turning points in each game, but you probably learn more by going through the game yourself with the engine running, and exploring different lines to see what happens.
Individual engines have their own quirks. Rybka had an excellent feel for material imbalances and sacrifices, but it has problems with certain endgames seeing an advantage in theoretically drawn positions. Komodo 9, Stockfish 6 and Houdini 4 all benefited from Rybka's ideas, and their latest versions are stronger than Rybka 4. Komodo and Houdini are perhaps a bit more conservative than Rybka, while Stockfish has a different style from the others. For a regular player just trying to improve his game, all these engines are going to seem pretty similar though, and a lot of the time they recommend the same moves.
Engines in general have trouble with long term planning and evaluating endgame positions. They often pursue short term material gain, while ignoring long term weaknesses like king safety, weak colour complexes and pawn structure. Engines are very strong at tactics though.