The difference is in how the yarn is wound. A yarn is in a "ball" if it is fairly round and usually with a center pull. A "skein" is more oblong shaped (think Red Heart, Caron's Simply Soft, Brown Sheep, etc.) A "hank" is a length of yarn usually twisted into itself - mostly found at a LYS. These need to be wound into some usable form - you know, the arms held out and the yarn wound around them method.
I think this is mostly correct - someone please correct me if I'm wrong. :aww: