Balls of yarn are usually the most familiar to beginner knitters. Balls are ready to knit as-is. You can usually pull the yarn from the outside of the ball or from the inside.
Now a skein is also ready to knit as-is but it is more of an oblong-shape, kinda like an egg. The majority of yarns that are sold in the big-box craft stores come in the form of skeins (think Lion Brand and Patons).
Hanks of yarn are a bit more difficult as they are not ready as-is. A hank of yarn needs to be wound using a ball-winder before you can begin knitting. Specialty yarn stores (LYS) typically carry yarn in the form of hanks. They look very beautiful and showcase color variation nicely.
So there you have it!