I agree with Screamingdaisy, playing through a speaker-cab would make the changes more audible.
The differences are pretty substantial in my experience. Each of the switches is accurately labeled, which is great because accurate descriptions of features is pretty rare with just about anything.
Bold on Channel 1 is a little more subtle depending on the mode you're in, I hear the biggest difference when using the Tweed voicing. I don't spend much time in Mark I mode, only because I find that I have to hit a certain volume threshold before I really like that voicing but the Thick switch definitely thickens up that mode, probably a great switch for single coils. I kind of wish Channel 2 had a mids-boost switch instead of the Thick switch for Mark I mode only.
The Bright switch on Channel 3 is probably the most fun to mess with. I find it to be a bit much when used on the Mark IV mode, I really like to use this mode with the bright switch off and I dial in more treble/upper-mids with the channel EQ and graphic EQ. The bright switch on the Mark IV mode seems to send the preamp tubes into microphonic territory pretty quick if you don't watch out. I flip it in and out depending on what I'm going for in the IIC+ and Extreme Modes.
Now that I have played live more, I like to think of the bright switch as a Live Switch. I spend a lot of time in IIC+ mode playing rhythm, and the Bright Switch is a must. At times I have to keep it on in order to stay audible when playing with a Lead player that has his mids pushed to 11.