There have been 3 different types of RAM that I can recall off of my head. There has been SDR RAM, DDR RAM, and RDRAM. RDRAM was used with some of the earlier Pentium 4 chipsets and is extremely expensive and can only be used in pairs.
DDR RAM is what you are using now. The differences are mostly the speed of the RAM in MHz and the timings. Some of the more expensive sticks can have heatsinks which make for better overclocking. DDR stands for double data rate. This is effective as a single stick runs twice as fast as it's predecessor (SDR RAM). For instance, PC3200 RAM = 200 x 2. It's clock speed is actually 200 MHz, but with a multiplier of 2 which now makes it 400 MHz. Keep in mind, this should be running at the same FSB as your CPU.
Certain RAM is better than others mainly because of these clock speeds. Lower latency memory will give you a better response time. The average user really has no use for this, but hardcore users will definitely look into this. Also, certain memory chips have overall build quality. I know that Samsung chips are among the best.
This should give you a basic understanding...