Screws are defined by their thread, which cuts into the material it is fixing. Typically used for fixing timber, though masonry screws are also available. There are many specialist screws, such as those for attaching decking boards or fitting windows.
Nails are metal pins with flat heads, using friction to fix what they are driven into. Collated nails are nails that have been strung together for use with a nailing gun.
Fasteners such as nuts and bolts are used to attach materials where a thread cannot be cut, such as sheets of metal. Fasteners can be used as a permanent fixing, though are usually able to be removed without causing damage.