Wax Paper: You cannot heat it, use to be used for wrapping sandwiches, not all that great for anything but to keep the counter top clean.
Parchment Paper: You can bake on it, use it for holding cake decorator frosting, wrap fish in it to bake.
Freezer Paper: one side paper, one side a wax/plastic coating. Used to wrap meat for freezer. Cannot bake on it. With the wax on one side, it is excellent for quilting templates, paper piecing, stencil making, etc. Lots of craft uses.