Paraphrasing from the National Weather Service:
Watch suggests there is the potential for a significant hazard to occur, but its occurrence, location, and/or timing is still uncertain.
Advisory announces an imminent hazards that may only merit caution, but could become dangerous if caution is not exercised.
Warning is used when a dangerous hazard is imminent or already occurring.
There is a proposed alternative system under consideration, but until this changes, forecasters choose between 14 types of watches, advisories and warnings.