Why 3 phase and not 1 phase power transmission?
Why not three lines all in the same phase?



Because then there is no return path.
Because single phase has no "rotation". Three phase makes it very simple to make a rotating motor with phase sequence determining the direction of rotation. Swap two phases and the direction is reversed.



  Is there less loss when the phases of the three lines are all different?



Three phase power distribution requires less copper or aluminium for transferring the same amount of power as compared to single phase power.
The size of a three phase motor is smaller than that of a single phase motor of the same rating. 
Three phase motors are self starting as they can produce a rotating magnetic field. The single phase motor requires a special starting winding as it produces only a pulsating magnetic field. 
In single phase motors, the power transferred in motors is a function of the instantaneous power which is constantly varying. In three-phase the instantaneous power is constant.
Single phase motors are more prone to vibrations. In three phase motors, however, the power transferred is uniform through out the cycle and hence vibrations are greatly reduced.
Three phase motors have better power factor regulation.
Three phase enables efficient DC rectification with low ripple.




Figure 1. Resultant DC from three-phase rectifier.


Generators also benefit by presenting a constant mechanical load through the full revolution, thus maximising power and also minimising vibration.