What is the difference in these models? 

Each model year has a different letter.  For example 1996 is GS500ET, 95 is ES.  I haven't seen EU before, though.

I wonder because I browse the world for GS500 parts. Some places list years then add in a letter once in a while. One site listed parts for GS500E and GS500Ex such as 1997 GS500E and 1997 GS500EU (or whatever the letter was) and they did this for the whole series. So it makes me wonder why they did that. Then, we are talking about Europe where they often refer to the GS500E as the GM51B (haven't figured out what the GM51A is). They also list E's after 2000 so those must be F's to us but naked versions.

In one listing, they listed all the years with and without the "U". In the list, the "U" was listed with slightly less power. I wonder if there were 2 versions in Europe depending on whether you were in a country or city with noise limitations (like Berlin) Maybe it indicated the extra noise limitations hence extra muffler that limited the power. In one list, it always a "U" suffix and it listed each year twice with different HP.

I admit it is all a bit confusing and WOW! The parts I've found! Some UK and German dealers have told me the GS500 (aka GM51B) is very popular. I was surprised to find a new company making belly pans (aka bug spoilers) and passenger seat cowlings for the E and the "never can find that after-market part for it in the USA" "F" model. Still looking for that old full cowling on the 1989-2000 models.

I think I need a 3rd GS for all the parts I have. Turn one into a street fighter and one into a cafe racer. Keep the 2009 original while it is still under warranty.

I have always been led to believe that GM51B is the VDS code that refers to and identifies the restricted 33hp model sold in some parts of Europe. GM51A refers to the "full-fat" 50hp model. Suzuki have never used "U" as a model year indicator so someone has got something wrong somehere 

http://www.suzukicycles.org/_misc/identification.shtml

Did more searching. The "U" is a restricted European designation. Probably also for noise regulations in Europe. That would explain why one dealer listed the same year with and without the "U" and the "U" was listed with less power. So I guess we've solved this puzzle.

Here is one message thread from the UK on it:

http://forum.suzukiownersclub.co.uk/archive/index.php?t-10707.html

The more I search, the more I find the GS500 is very popular in Europe and there are so many after market parts available. I go to Berlin in December. I think I'll explore the bike and salvage shops for unique GS500 parts (aka GM51B GS500E Slingshot). This is really making the GS500 so much more fun. Like a world wide scavenger hunt! I wish I could get that limited edition GS500E from Germany with the full fairing.