1. What makes an atmosphere? How can gases escape from a planet?
If you are big enough planet, like Jupiter or Saturn, you kept the atmosphere that was the remnants of the gas in the solar nebula when the planets were formed (mostly hydrogen and helium). The smaller, inner planets probably got their atmospheres from the outgassing that occurred as they cooled down (volcanoes). Some scientists think that much of the Earth's atmosphere came late in Earth's formation history and was brought in by the last of the impacts that formed the planet (comets and wet asteroids). In the case of Venus, it had what is called a runaway greenhouse. It got so hot that the surface water (if it ever had any) evaporated and more greenhouse gasses went into the atmosphere. As the atmopshere got even hotter, the surface rocks that contained carbonates heated up and put more carbon dioxide into the atmosphere, another greenhouse gas.
How do planets lose their atmospheres? There are several ways: a large impact can literally blow off the atmosphere (probably happened to Mars). When you heat up the molecules in an atmosphere, the molecules move faster and some of them can escape (this is how we lose hydrogen). The hotter the atmosphere, the more molecules can escape. The smaller the object, the lower the gravity, so the escape velocity is lower and it is harder to retain an atmosphere (Moon and Mercury). Finally, you can lose atmosphere to the surface. The atmosphere can condense onto the surface (rain and snow). On Earth, much of the carbon dioxide that is normally generated is dissolved into the oceans.
2. How does an exosphere differ from the atmosphere?
The exosphere is the top of the atmosphere (the outer atmosphere) where molecules can move around with little chance of hitting other molecules. If they are moving fast enough, they can escape the atmosphere and go off into space. It starts at about 500 to 1,000 kilometers above the surface and extends out into space. For comparison, the International Space Station orbits at 350 kilometers above the surface of the Earth.
3. What causes the atmosphere to change so drastically from planet to planet?
There are two primary factors: size and distance from the Sun. Gravity helps planets and moons to hold on to their atmospheres, so small planets/moons such as Mars and the Moon have thin atmospheres. Also, if you are closer to the Sun, the atmosphere is hotter and the molecules are moving faster and so can reach escape velocity. This is why Mercury has no atmosphere, but much smaller and colder Pluto can still retain a thin atmosphere. There are other factors, too. Some moons have a thin atmosphere because they have some internal heat and thus volcanoes and geysers that can replenish their very thin atmospheres. Then there is Venus, where it got so hot (what is called a runaway greenhouse) that some of the rocks have boiled away. Earth and Venus have about the same amount of carbon dioxide, but on the Earth most of it is dissolved in water (no water on Venus) and in carbonate rocks. On Venus, all of the carbon dioxide is in the atmosphere.