The big difference seems to be that unlike Facebook Live and Periscope, the live videos captured by Instagram are truly ephemeral -- you can't access archived videos for later viewing. So if you don't want to miss those Instagram Live videos, you generally have to be following those accounts and be tuning in at the right time. That said though, Instagram is also populating its Explore page with "Top Live" videos that it hopes will highlight the most popular live stories at any given time.
In a way, Instagram Live seems to be something of a hybrid between Facebook Live and Snapchat. It's mobile-only unlike Facebook Live, and appears to be geared mostly toward personal video sharing, whereas Facebook Live has so far been mostly used by media companies and publishers. It's not entirely clear yet if there's a market for this kind of live video sharing, but Instagram's sheer popularity could prove to be a great testing ground for it.
Live video on Instagram will roll out starting today, and should be available to all US users in the coming days.