We compare three transitivity properties of finite graphs, namely, for a positive integer $s$, $s$-distance transitivity, $s$-geodesic transitivity and $s$-arc transitivity. It is known that if a finite graph is $s$-arc transitive but not $(s+1)$-arc transitive then $s\leq 7$ and $s\neq 6$. We show that there are infinitely many geodesic transitive graphs with this property for each of these values of $s$, and that these graphs can have arbitrarily large diameter if and only if $1\leq s\leq 3$. Moreover, for a prime $p$ we prove that there exists a graph of valency $p$ that is 2-geodesic transitive but not 2-arc transitive if and only if $p\equiv 1\pmod 4$, and for each such prime there is a unique graph with this property: it is an antipodal double cover of the complete graph $K_{p+1}$ and is geodesic transitive with automorphism group $PSL(2,p)\times Z_2$.