Overdrive - (as one might imagine) putting too much signal through part of a circuit - thus overdriving it. Crucially overdrive is dynamic, so the more a player 'digs in', then more dirt you get.
Distortion - Constant filth, regardless of player's dynamics.
Fuzz - boosts the signal to the extent that the wave is practically 'squared off' instead of a sine wave (for example), it also compresses the signal something crazy.