Belt sanders are excellent at taking off large quantities of material. They operate like a treadmill, running a belt around in a constant, high speed cycle. They tend to be larger and more expensive than the other types of sanders. Belt sanders are great for rough shaping of wood when a saw is too large. For example, if a hardwood floor board is slightly too wide or if you need to scribe the filler piece on a cabinet.
Orbital sanders use round sheets of sandpaper that are moved quickly in circles. They are a good middle ground between the rough action of belt sanders and the finishing capabilities of sheet sanders. You need to keep it constantly moving or you will develop circles in your material and the round pads make it impossible to get into tight corners. This is my go-to sander since it gets through material quickly but it is more difficult for me to be too rough.
Sheet sanders use a sheet of sandpaper attached to a pad that is moved in a back and forth motion. The square edges mean you can get into the corners of your project making it more useful than an orbital sander for corners. They are also gentler than other sanders, making them better for detail and finish work however the sanding can take longer since they are not as aggressive.