To expand a little on what Eric said...
I consider the 4WD versus AWD to largely be marketing terms differentiating between vehicles with additional ground clearance and plating underneath to protect sensitive components while going over rough terrain off-road travel (4WD) from systems that are targeted more towards on-road travel (AWD). Though this is confused more by companies making their own names for all wheel drive systems like quattro, Syncro, SH-AWD, Hydratrak, etc...
I think it's worth differentiating between these flavors of drive:
- Full time AWD. These systems are designed to be left engaged even when on dry roads.
- Part-time AWD. These systems usually have a locked center differential AKA transfer case, which is will cause excessive wear on the drivetrain and/or tires if left engaged on dry roads. It's meant only to be engaged in reduced traction situations like snow, ice, gravel.
- Hi/Lo AWD. This is probably the most likely to be called 4WD, because it's usually fitted on vehicles meant for off-road use. This will either be part time or full time, and on older vehicles would also have "locking hubs" up front. This has an additional set of gears after the transmission, which can increase the gear ratio, particularly for off-roading or other high torque applications.
- RWD. Only the rear wheels are driven.
- FWD. Only the front wheels are driven.
However, beyond AWD, FWD, and RWD, there are the front and rear differentials that can make a dramatic difference in how well a vehicle can handle low traction conditions. The differential is what connects the drive-line to two output shafts, say the ones going to the wheels on the left and right sides. It allows the wheels to turn at different rates as you go around corners. The inside wheels will describe a smaller circle, and therefore travel less distance than the outside wheels.
Not all differentials are created equal. Normally, differentials are of a type called "open". A sad artifact of these differentials is that power goes to the wheel with the least traction. So if one wheel is on ice, and one is on dry pavement, you will sit there spinning your wheels.
There are also a huge variety of "limited slip" or "locking" differentials which either allow you to manually lock and unlock them, or automatically distribute power to both wheels. These are more frequently found on sports cars, sometimes as additional-price option packs or upgrades, sometimes standard, in RWD and FWD cars. They are also used in better AWD systems in the center, front, and/or rear differentials.
There are also some hybrid systems, such as Audi's quattro system. Some models of this use a Torsen center limited slip differential, and open differentials in the front and back, but they do this trick where they use the ABS sensors to detect wheel spin, and then apply brakes to the spinning wheel, forcing it traction to go to the other wheels. While not literally a limited slip differential in the front and back, this is still extremely effective.
Sadly, the manufacturers don't really make it clear what exactly their system is. In short:
- If there is a lever or button to turn on AWD/4WD, it is a part-time system.
- AWD versus 4WD are basically the same, but 4WD tends to be used on off-road oriented vehicles.
- Not all AWD systems are created equal, so you'll have to research if you want specific functionality out of the system..