The following definitions are copied directly from Scottrade’s Website 

Market Order: A Market Order is an order to buy or sell a stock immediately at the best available current price; no price can be specified in this order. This order guarantees execution, but does not guarantee execution price. Be wary of using market orders on stocks with a low average daily volume: in such market conditions the ask price can be a lot higher than the current market price (resulting in a large spread). In other words, you may end up paying a whole lot more than you originally anticipated. It is much safer to use a market order on high-volume stocks versus low-volume stocks.

• Buy market orders are executed generally at the ASK price
• Sell market orders are executed generally at the BID price

Market Orders cannot contain special instructions such as All or None (AON) or Good until Cancelled. Again, there is no guarantee of the execution price and it can be several points higher or lower than the quoted bid/ask, especially during fast markets.

Limit Order: This is an order to buy or sell a set number of shares at a specified price or better. A Limit Order guarantees price, but not an execution. These types of orders also may be placed with special instructions, like AON (all or none) and GTC (good until cancelled).

• Buy limit orders - orders will execute only if the market reaches the specified price or lower.
• Sell limit orders - orders will execute only if the market reaches the specified price or higher.

For Listed (NYSE, AMEX, etc.) and Nasdaq stocks

• Limit prices may include up to two decimal places for Stocks above $1.00
• Limit prices may include up to four decimal places for Stocks under $1.00

A Stop Order: Stop orders are an order to buy or sell a security when its price surpasses a particular point, limiting the investor's loss or locking in his or her profit. Once the market price surpasses the predefined entry/exit point, the stop order becomes a market order, and is then handled as defined under the definition of a market order. This type of order is also referred to as a "stop-loss order". These types of orders also may be placed with special instructions, like AON (all or none) and GTC (good until cancelled). Stops are not a definite guarantee of getting the desired entry/exit points. For instance, if a stock gaps down then the trader's stop order will be triggered (or filled) at a price significantly lower than expected.

• Buy Stop Orders - The stop price is set above the current ASK price
• Sell Stop Orders - The stop price is set below the current BID price
• Depending on market conditions, once the order is triggered, there is no guarantee of the execution price and the price received may be several points away from the stop price.

A Stop Limit Order: This is a type of order that combines the features of stop order with those of a limit order. A stop-limit order will be executed at a specified price (or better) after a given stop price has been reached. Once the stop price is reached by the market, the stop-limit order becomes a limit order to buy (or sell) at the limit price or better. This order is then handled as defined by a limit order. The primary purpose of a stop-limit order is to give the trader more control over where the order should be filled. The downside, as with all limit orders, is that the trade will not be executed if the stock does not reach the limit price. These types of orders also may be placed with special instructions, like AON (all or none) and GTC (good until cancelled). Stop limit orders are used by some investors to buy a stock when it reaches a certain price, allowing the investor to buy when the stock has upward momentum behind it.