Note: The landscape has changed significantly in the past seven years, and this answer really needs an update, which I will do when I get a chance. Notably, Olympus has exited the DSLR market in favor of mirrorless, and Pentax has (finally?) added a full-frame option.
If you're looking at generalities — are there normal-range primes, are there wide zooms, are there telephoto zooms — everyone has it covered. But if you start looking at specifics, there are meaningful differences.
This comes out in three different ways:
- Individual quirks of a certain brand's lineup
- Availability of niche/special-purpose lenses
- Lenses in different price brackets
Pentax is the poster-child of a quirky lineup. Particularly, since they're very committed to APS-C rather than full-frame (steering you to the 645D if you want to go up), many typical lens types only exist in their 35mm-e field-of-view equivalents. For example, there's no 24-70mm / 70-200mm f/2.8 pro lens pair — instead, there's the DA★ 16-50mm and 50-135mm. There's no 85mm f/1.4 portrait lens — instead, there's the DA★ 55mm f/1.4. And the entire DA Limited and FA Limited series of jewel-like primes, with odd focal lengths and max apertures, pretty much trades on quirky.
(N.B. In 2015, Pentax announced that they _will_ introduce a full-frame model; we'll see what impact that has in the future and I will eventually update this answer. Also worth mentioning that lens prices are higher than they were four years ago, so the specific numbers below are off, although the general sentiment remains the same.)
Conversely, Canon does not offer very many non-entry-level lenses designed for APS-C, preferring to steer people who are interested in investing in lenses towards full frame. Nikon has put more effort into developing modern and interesting entry-level APS-C primes, but the nicer lenses are always full-frame.
Olympus and the Four-Thirds system is also somewhat quirky in the lens lineup, both for sensor-size reasons (there's no "nifty fifty", but there's the form-factor equivalent), and because it's an all-new designed-for-digital system with no legacy considerations (or legacy designs to fill gaps). That last means it's a rather small lineup overall.
And there are random "gaps" in the Big Two's offerings as well. Canon doesn't have a 12-24mm f/4, for example. (There's decent third-party offerings like Tokina's, though. A point, I should add, which also goes for 70-200mm on Pentax.) If some particular focal range or lens type is important to you, make sure to look for it.
Specialty and Niche Lenses
Then, there's the issue of niche lenses. Nikon has three tilt-shift offerings, while Canon has four (including a 17mm); there's nothing in Four-Thirds, and for Pentax or Sony, only third-party options are available. On the other hand, if you want a super-compact and lightweight autofocusing "pancake" style normal lens (which, objectivity disclaimer, is what I use on my camera 90% of the time), Canon hadn't one until 2012 and Nikon doesn't have any, so you need to turn to Pentax or Panasonic/Olympus.
Pricing and Lens Market Tiers
And finally, the price bracket distinction. Canon and Nikon have both the top and the bottom covered, from hundred-dollar 50mm f/1.8 lenses all the way up to the price of a new car.
Seriously — the Canon EF 800mm f/5.6L IS USM is $11,900 from B&H, and the Nikon AF-S Nikkor 600mm f/4G ED VR is $10,300. Both brands offer half a dozen lenses over $2000, and another dozen-and-a-half between one and two grand.
Pentax doesn't have anything like that — the most expensive lenses they have for sale at B&H are the DA★ 60-250mm f/4 ED and the DA★ 300mm f/4, both of which come in at $1200. (You can order pricer lenses from Pentax Japan, as special build-to-order, but that doesn't really count.) The next-most expensive is the FA 31mm f/1.8, at $965.
Sony is in-between here, with the 300mm f/2.8 G-Series at $6300, and then about a dozen lenses between $1000 and $2000. Olympus too.
At the bottom end, Nikon and Canon again have things covered — cheap primes and zooms for all occasions. Sony too, although the selection is smaller. Pentax doesn't really have that. With the exception of the new cheap-normal DA 35mm f/2.4, they've mostly let those lenses (like the FA 35mm f/2) drop from the lineup.
But that's not the complete story — what Pentax has is a bunch of very nice medium priced lenses, from $340 to $965. Some of these are almost legendary in their optical qualities (and not just among Pentax partisans), but they probably don't compete with the likes of the AF-S Nikkor 35mm f/1.4G. This may go back to "quirky lineup" overall, but basically they don't have super-cheap or super-expensive lenses, but the middle has some unique high-quality lenses.
I don't mean to slant this too personally (or to advocate my own choices for everyone), but on a personal note, lenses that cost over $1000 are nice to drool at, but practically speaking might as well not exist. If this is your bread and butter and those lenses cover your needs, though, definitely make sure not to choose Pentax. Conversely, if you're only going to pick up a few entry-level lenses and don't want to spend $500 for a single prime, Pentax might not be the best choice. Or, if you're just going with the kit lens plus maybe one telephoto zoom, they are fundamentally no different from any of the other major brands and it doesn't matter at all. (Unless you want to go all out collecting manual-focus legacy glass — a different story altogether....) For me, it fits my (saving up a bit!) budget, and I'm not compromising on quality. So, Pentax for me, specifically because their lens lineup is a great fit.