Context. Understanding the origin of the instabilities of LBVs is important for shedding light on the late evolutionary stages of massive stars and on the chemical evolution of galaxies. Aims. To investigate the physical nature of variable stars in the upper H-R diagram, we performed a spectrophotometric study of the Romano's star GR 290 and the Hubble-Sandage variables A, B, and C in the close galaxy M 33. Methods. New spectroscopic and photometric data were employed in conjunction with already published data of these stars in order to derive spectral types, energy distribution and bolometric luminosities. Results. The yellow hypergiant Var A is still at minimum, with a ∼G-type spectrum and strong Hα emission (W eq −35 Å). Var B is in a low luminosity hot state (V = 17.5, B − V = −0.15) with very strong Hα emission (W eq = −310 Å). Its absolute bolometric luminosity is 0.6 × 10 6 L . Var C, at V = 16.4, is fainter than in the mid 1980s, but its spectrum shows the typical features of LBVs at maximum, a spectrum that is very rich in Fe ii emission lines. Its L bol is about 0.7 × 10 6 L . The Romano's star GR 290 has a rich hot emission-line spectrum and is very bright with L bol = 3 × 10 6 L . During 2004 the star brightened by ∼half magnitude in each of the BVR filters. Conclusions. Our observations confirm that Var A probably is an intermediate type hypergiant star surrounded by an expanding envelope with a collisionally excited hydrogen emission, largely obscured by dusty disk and nebula. In recent years, Var B has undergone a blueward transition in the H-R diagram, probably at constant bolometric luminosity, while Var C is in a post-maximum phase with an η Car-type spectrum. GR 290 is notable for its spectrum and luminosity, and it is likely to develop ample spectral variations in the near future, similar to those observed in AG Car.