I'll do my best to describe them off the top of my head.
Socket 7- old as hell, don't even bother with it. Max CPU speed is 550MHz
Slot A- Old as well, not worth the trouble.
Socket A- (aka Socket 462) Used by newer Athlons, Athlon XPs, Durons, some Semprons. Mainly mid to low end systems by today's standards, still has a bit of kick left in it but there's virtually no upgrade path.
Socket 754- Used by early Athlon 64s and Semprons. Single channel DDR memory interface. Little to no upgrade path except for future Semprons
Socket 939- Used by newer Athlon 64s and Athlon 64 FX CPUs. Dual channel DDR memory interface, looks to be the best solution if you want to upgrade your CPU without changing motherboards down the road, especially to a dual core CPU.
Socket 940- Used by early Athlon 64 FXs and Opterons. Dual channel DDR once again, but requires Registered ECC RAM which can get pricy. 95% of people shouldn't even consider it as it's targeted at server and workstation applications.