A shot of espresso is a beverage produced by forcing hot water at approx 95 deg C at a pressure of 8–10 bars through a puck of ground coffee.
The quantity of ground coffee (dose) and water determines whether it is an Espresso (30ml), Espresso Doppio (60ml) aka a double shot of espresso, a Ristretto (22.5ml) or a Lungo (90ml). Adding hot water to a shot of espresso gives Long black and Americano.
Mocha, Latte, Frappe, Espresso, And Cappuccino are beverages derived by mixing an espresso shot with steamed and/or foamed milk. Mocha is made by adding hot chocolate to the espresso and milk.
This is a handy infographic from 9GAG.com for understanding the differences:
