What are the different effects that different washes produce in baked goods?
The best resource I've seen is here at The Fresh Loaf.  


Egg yolk produces a shiny and dark look but remains soft.
Egg white is still soft but less shiny.
Milk and water only darken it slightly and produce what the article calls a 'satin' look.
Butter makes it shiny, smooth, rich, and well, buttery!