I actually think that each of these cases must be approached individually, and that there's no hard rule which applies to all. Please bear with me, and I welcome any corrections from experts in each of these particularly.

First I'd like to address what it means for each of these religions to be destroyed. Other than the Norse, I can think of cases of each of these religions holding out far longer than the time in which they were 'eclipsed', so to speak. Jean Chardin, a frenchman who travelled through Persia in the last 17th and early 18th centuries, estimated that 40% of the population where what he called 'iranian pagans'- zoroastrians (this is over a thousand years after the islamic conquests, bear in mind). The issue is that they tended to live in marginal and rural areas, and so rather disappear from the historical and documentary record. The egyptian religion survived a while longer in the Sudan than it did in Egypt proper, where hellenistic syncretism was less of a pressure. Pamprepius and Ilus were Byzantine generals who revolted in 484 and were allegedly pagans who wanted to re-open the temples. I'm afraid I'm not aware of where the last bastion of the Norse pantheon was.

But these show that the common conception of these religions rapidly declining is a simplification, and many continued to exist well after some documentary evidence might present them as 'destroyed'. I see parallels here with what happened in the New World and the 'destruction' of native religions there.

I fall into the camp of religious change being best modelled in terms of human geography; ie there is a set of pressures to convert a people, and motives and inertia which act against those. Where we see political, economic and social factors outweighing those opposing them I would expect religious change, though the timescale is much harder to predict. In the case of Zoroastrianism, I see it strongly suggested that a major factor in the religious transformation was the conversion of local nobles to Islam for political reasons. Top-down cultural change is a powerful force which has often shaped language, culture and religion in the past and I see it as a very strong explanation here. In many periods there was also social, political, and economic persecution of Zoroastrian peoples. The source I have looked at regarding the extent of persecution is from Edward Granville Browne's A Year Among the Persians. He was very interested in the Zoroastrian traditions and viewed them somewhat romantically.

The Ancient Egyptian religion was strongly affected by Hellenistic syncretism. The Greeks had long drawn parallels between their gods and the egyptian ones, often referring to them by the name of a greek deity, and as I understand it this profoundly altered the religion of the elite in Egypt and led to them becoming part of the greater Greco-Roman religious area which was later the grounds in which Christianity rose. As for the decline of the Greco-Roman religion itself, I do not feel informed enough to speculate on the motivators at work.

So back to the question, what enabled Judaism to resist all the motivators which would draw people away from it? My perspective is that none of them were particularly strong. The Jews in Europe served an important economic function which the nobility usually wanted to preserve, and often became rich as a result. Economic and political factors pointed towards continuing the faith. Socially the segregation they endured and their tight-knit communities provided strong social pressures to remain part of their culture and faith and limited marriage outside the group. As I see it, the factors at work were simply in favour of retaining their religion.

I would argue like the first commenter that each 'religion' you mention needs to be taken into account individually. I especially don't see the Zoroastrian religion as nearly wiped out. It's had tough times such as the invasion of Iran by Muslims but they still live there today and even had they been wiped out they already had a diaspora reaching from Iran to China with a particularly large community in India (once the Muslims arrived)... I'd also argue that in a way Judaism was very nearly wiped out. The destruction of the second temple and the (virtual) ending of the lineages of the Levites and Koheim were troublesome to say the least. The rabbis (who are not priests like the Levites for example) continued the tradition. So Judaism to me survived because it was a religion with a mode of transmission that survived culling of the priests and destruction of the temple. Transmission I think is therefore very important...does your religion exist in a culture with written script? If not it's a bit less steady (as we see with the practical disappearance of pre-Christian European religions). If it has no writing does the culture have a strong method to pass on the religion? Zoroastrianism for example had no written language until it had been around for thousands of years...it did have a decent method of passing on the tradition orally but nothing compared to it's sister religion, Hinduism. There a whole caste was set aside to learn and pass on the Vedas and the Vedas themselves were written in such a way that they include all sorts of interesting and useful mnemonic devices.

It's not a full answer, but I can answer the one about the Roman religion and how that died off. First off, one advantage monotheistic religions have over polytheistic ones (as far as holding out) is that there are no divisions in respect to which god to worship. In Hinduism, there are multiple sects saying that Shiva or Vishnu or Garuda etc are the supreme Lord, and this causes strife.

This was a major reason why Christianity won out in the Roman Empire. Up until Constantine, Christians were persecuted. The Romans saw this as bullying, as the pagans lived side by side with the Christians with relative ease. They has Christian neighbors and did business with Christians. The general populace sympathized with them and this caused them to feel hostile towards their emperor. Constantine comes along and adopts Christianity (though he displayed close to no knowledge of it and thought Jesus was a Roman god) and legalizes it. At the time, the Roman religion was seen as favoring the elite, while Christianity was the religion of the people. Everyone is equal in God's eyes, and you can speak to him. With so many gods, the Roman religion was complex and the mythos spanned multiple texts, which is difficult for those who can't read. With Christianity, there's one holy text.

A generation or two later, we have Julianus, I believe Constantine's nephew. Julianus was, for lack of a better word, a nerd in ancient times. He was weak, socially awkward, and preferred staying inside and reading books. His cousin, then emperor, thought Julianus would be easy to exploit and sent him to Gaul to deal with Germanic uprisings. Julianus ends up somehow proves to be a valiant leader, crushes the Alemanni and Franks, ends up gaining great confidence, and returns to Constantinople with the city hailing him as emperor. However, he rejected his family's Christian beliefs and was set to be the last pagan emperor. He felt Christianity was weak and effeminate, discouraging killing those below you. He knew that if he outright persecuted Christians, he would become unpopular very quickly. Instead he gave people incentives to being pagan through tax breaks and other measures. He then stepped it up to discouraging people from becoming Christian. He then said that crimes against Christians would not be condemned by the law (similar to laws about gays in Russia and Uganda). The people saw right through this and it had the opposite effect. They converted to Christianity en masse and paganism was dying out quickly. While the Christians could unite under one God against persecution, pagans were divided between multiple gods, none of whom they could really get behind. They saw them as corrupt of character compared to their fellow Christians' God.

So that's how the Roman religion died. You can probably extrapolate a bit here and see that Judaism did not have any of those things happen to it. They were able to unite behind a common deity and had a strong sense of community.

Source: Lost the West: The Forgotten Byzantine Empire That Rescued Western Civilization by Lars Brownworth