Yarns are different. Some are thick and some are thin. The most delicate and thin are used for lace and the thickest are used for bulkier garments, accessories etc. In between there are the fingering weight - thinner yarn used for baby clothes, socks etc; DK weight (double knitting) - traditionally considered twice as thick as the fingering weight - for light graments, tanks, thin sweaters; worsted weight - used for sweaters, cardigans etc.; bulky/chunky - used for more heavy garments. Each weight is determined by the number of stitches for one inch of knitting in st st. The names are just traditional. Worsted for example is a way of spinning the yarn, but it's used to describe a certain weight of yarn. Also there are many ways to call the same thing - sport, baby, fingering.
In different countries yarn weights are called differently, for example in England they go by the number of plies, so you'll see a 4-ply, 2-ply etc. yarns.
See if this helps: http://knittingcrochet.suite101.com/...cfm/yarnweight
and maybe this also http://www.lionbrand.com/cgi-bin/yar...?yarnByClass=1