Yeah, adam_uk is right. On a shared hosting accont (a normal one) is where you rent space on a server from a company and there are many other accounts on that server and the space / bandwidth is split into little accounts which you buy.
A dedicated server is where you buy or rent the actual server. It is then yours to do with what you will. Managed servers are where the parent company manages the server, installs updates etc. all for you. Unmanaged is where its all down to you (and often, if you don't know about servers, requires hiring support staff).
Dedicated Servers are better because they have less server load, but often cost more. Around the $150 - $200 per month mark for a half-decent one whereas you can get a shared account for about $14.99 per month.
Basically, what adam_uk said but with a bit more detail