So, I'm finally doing the MQ past Kynesgrove and have gotten a few where you have multiple choices for who to talk to. First you can choose to talk to Esbern or Arngeir about something. Then, after you fight Alduin for the first time, you can talk to either of them OR Paarthurnax. Is there any significant change in the way things go depending on who you talk to ?

The information you get will not change, the next step after getting it will still be the same. The only difference will be who tells you what you need to know.

Altho IIRC going to talk to Esbern at this point will also result in you getting a separate quest from the Blades that you can complete or not and the choice you make about it will have an affect on your future dealings with both them and the Greybeards. It won't affect your ability to complete the MQ though.

only difference i ever noticed with talking to Esbern over the Greybeards is that when you talk to Esbern the quest Paarthurnax begins and they no longer talk to you unless you kill Paarthurnax