They often can be used interchangeably. For instance:
It was a terrible/horrible/awful movie. You see here any one of the three could be used.
There is a slight difference, however.
If I wanted to emphasize fear being involved, I would tend to use terrible.
If I wanted to emphasize disgust, I would use horrible.
For lesser degrees of negativity, where something or someone is simply bad in some way, I would use awful.