1. 직진해 => Go straight (with no turns). (mostly used for driving directions)
2. 곧장 가 => Go directly to the destination without turns or stopping by other places (used generally).
3. 쭉 가 => Keep going straight (without stopping or turning).
* 직진: straight(직) move/advance (진).
* 곧장: straight (똑바로), right to the destination (바로, 다른 데 들르지 말고).
* 쭉: in a straight line(돌거나 머뭇거리지 말고); continuously(계속해서).
So, 직진해 is different because it is about driving directions.
Between 곧장 and 쭉, 곧장 emphasizes straight direction or going directly to the destination.
쭉 seems more about uninterrupted, continuous movement.